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Characteristics are covariances: A unified model of risk and return · Study

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ArticleCharacteristics are covariances: A unified model of risk and return

Bryan T. Kelly2019

Article2019

Characteristics are covariances: A unified model of risk and return

Bryan T. Kelly · Seth Pruitt · Yinan Su

807 citations·0/0 files stored·Journal of Financial Economics

No readable copy stored yet — this record is metadata only.

Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 807 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 2014A five-factor asset pricing model 1976The arbitrage theory of capital asset pricing 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 2002Forecasting Using Principal Components From a Large Number of Predictors n.d.Editor's Choice Digesting Anomalies: An Investment Approach

Cited by

2020Taming the Factor Zoo: A Test of New Factors 2021Machine learning in the Chinese stock market 2023Is There a Replication Crisis in Finance?2023Deep Learning in Asset Pricing 2019Autoencoder Asset Pricing Models 2020Bond Risk Premiums with Machine Learning 2018Empirical Asset Pricing via Machine Learning 2021Asset Pricing with Omitted Factors

Details

Year2019

Typearticle

Published2019-05-07

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations807

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jfineco.2019.05.001

openalex_workW2799643291

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