Editor's Choice … and the Cross-Section of Expected Returns

By Campbell R. Harvey, Yan Liu, He-yan Zhu. 2016

192 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/563c3d06b01519f5534e2800defb8a296cd7c195

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Markus Pelger
2. Bryan T. Kelly
3. Shihao Gu
4. Kewei Hou
5. Lu Zhang
6. D. Xiu
7. Martin Lettau
8. Chen Xue

Citations in the corpus

• Shock-Based Causal Inference in Corporate Finance and Accounting Research (2015, unknown): “20See, e.g., Leamer (1978); Glaeser (2006); Harvey et al. (2016).”
• High-Frequency Jump Analysis of the Bitcoin Market* (2017, background): “We refer to Barras, Scaillet, and Wermers (2010) and Bajgrowicz and Scaillet (2012) for further discussion, background, and applications of the FDR methodology in finance (see also Harvey, Liu, and Zhu (2016) for multiple testing issues in factor modeling).”
• Geographic Lead-Lag Effects (2020, unknown): “Following Harvey, Liu, and Zhu (2016) and Novy-Marx (2013), we use these main control variables: the firm’s own one-month lagged return, individual stock 12-months momentum, firm size, bookto-market ratio, trading volume, gross profitability, asset growth and institutional ownership.”
• Factors That Fit the Time Series and Cross-Section of Stock Returns (2018, background): “Harvey et al. (2016) document that more than 300 published candidate factors have predictive power for the cross-section of expected returns.”
• Short- and Long-Horizon Behavioral Factors (2019, unknown): “The t-statistic testing whether the FIN premium is zero is 4.6, well above the hurdle of 3.0 for new factors proposed by Harvey, Liu, and Zhu (2016).”
• Empirical Asset Pricing via Machine Learning (2018, background): “Harvey et al. (2016) study 316 “factors,” which include firm characteristics and common factors, for describing stock return behavior.”
• Dissecting Characteristics Nonparametrically (2020, background): “Harvey et al. (2016) identify more than 300 published factors that have predictive power for the cross section of expected returns.1 Many economic models, such as the consumption CAPM of Lucas Jr (1978), Breeden (1979), and Rubinstein (1976), instead predict that only a small number of factors can…”