An evaluation of alternative multiple testing methods for finance applications
In almost every area of empirical finance, researchers confront multiple tests. One high-
profile example is the identification of outperforming investment managers, many of whom …
profile example is the identification of outperforming investment managers, many of whom …
Which factors are risk factors in asset pricing? A model scan framework
A key question for understanding the cross-section of expected returns of equities is the
following: which factors, from a given collection of factors, are risk factors, equivalently …
following: which factors, from a given collection of factors, are risk factors, equivalently …
In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models
Using available return data, many multi-factor asset pricing models present impressive in-
sample Sharpe ratios, significantly surpassing that of the market portfolio. Such a …
sample Sharpe ratios, significantly surpassing that of the market portfolio. Such a …
The corporate bond factor zoo
Analyzing over 562 trillion possible models, we find that the majority of tradable factors
designed to price bond markets are unlikely sources of priced risk, and only one novel …
designed to price bond markets are unlikely sources of priced risk, and only one novel …