… of 0.3 × h * , where h* minimizes CV(h). Admittedly, this is an ad hoc approach, and it
remains an important challenge for future research to develop a more rigorous procedure. …

We propose a dynamic equilibrium model of asset prices and trading volume when agents
face fixed transactions costs. We show that even small fixed costs can give rise to large “no‐…

This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It
then uses the estimates to analyze whether managers with market-timing ability can be …

We develop a classification methodology for the context and content of news articles to
predict risk and return in stock markets in 51 developed and emerging economies. A …

This paper proposes a simple back testing procedure that is shown to dramatically improve
a panel data model's ability to produce out of sample forecasts. Here the procedure is used …

… l and h to control X and M. As usual, we will only consider feedback controls with l and h being
… We want to show that the l ^ and h ^ corresponding to d X ^ defines the optimal solution to …

In times of great economic and market stress, asset prices often respond dramatically to news
about underlying economic or market conditions. This was true during the global financial …

This paper presents a model in which investors cannot remain in the market to trade at all
times. As a result they have an incentive to set up trading firms or financial market …

… Glasserman and Mamaysky … The equilibrium effect of this, as shown in Glasserman and
Mamaysky, is to make prices more informationally efficient with regard to micro than macro …

We derive a measure of firm-level regulatory exposure from the text of corporate earnings
calls. We use this measure to study the effect of regulation on companies’ growth, leverage, …