Pub Date : 2024-08-29DOI: 10.1080/0015198x.2024.2388024
Clint Howard
Applying machine learning to cross-sectional stock return prediction requires careful consideration of modeling choices. Common approaches that fail to account for heterogeneity or imbalanced stock...
{"title":"Choices Matter When Training Machine Learning Models for Return Prediction","authors":"Clint Howard","doi":"10.1080/0015198x.2024.2388024","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2388024","url":null,"abstract":"Applying machine learning to cross-sectional stock return prediction requires careful consideration of modeling choices. Common approaches that fail to account for heterogeneity or imbalanced stock...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"11 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142185634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-08-27DOI: 10.1080/0015198x.2024.2382672
Paul D. Kaplan, Thomas M. Idzorek
For nearly three-quarters of a century, there has been a large separation between lifecycle finance models stemming from numerous Nobel laureates and the single-period mean-variance optimization-or...
{"title":"The Importance of Joining Lifecycle Models with Mean-Variance Optimization","authors":"Paul D. Kaplan, Thomas M. Idzorek","doi":"10.1080/0015198x.2024.2382672","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2382672","url":null,"abstract":"For nearly three-quarters of a century, there has been a large separation between lifecycle finance models stemming from numerous Nobel laureates and the single-period mean-variance optimization-or...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"32 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142185635","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-17DOI: 10.1080/0015198x.2024.2360390
Alexey Ivashchenko, Robert Kosowski
Can systematic corporate bond investments generate attractive returns net of costs? To answer this question, we apply the principle of market microstructure invariance and obtain bond transaction c...
{"title":"Transaction Costs and Capacity of Systematic Corporate Bond Strategies","authors":"Alexey Ivashchenko, Robert Kosowski","doi":"10.1080/0015198x.2024.2360390","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2360390","url":null,"abstract":"Can systematic corporate bond investments generate attractive returns net of costs? To answer this question, we apply the principle of market microstructure invariance and obtain bond transaction c...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"12 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141737516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-06-24DOI: 10.1080/0015198x.2024.2350952
Axel Cabrol, Wolfgang Drobetz, Tizian Otto, Tatjana Puhan
This paper tests the predictive performance of machine learning methods in estimating the illiquidity of US corporate bonds. Machine learning techniques outperform the historical illiquidity-based ...
{"title":"Predicting Corporate Bond Illiquidity via Machine Learning","authors":"Axel Cabrol, Wolfgang Drobetz, Tizian Otto, Tatjana Puhan","doi":"10.1080/0015198x.2024.2350952","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2350952","url":null,"abstract":"This paper tests the predictive performance of machine learning methods in estimating the illiquidity of US corporate bonds. Machine learning techniques outperform the historical illiquidity-based ...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"49 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141502791","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-06-12DOI: 10.1080/0015198x.2024.2351020
Roger Clarke, Harindra de Silva, Steven Thorley
We examine nonlinear return-to-characteristic relationships for five equity market factors: value, momentum, small size, low beta, and profitability. Our study employs monthly returns and character...
{"title":"Nonlinear Factor Returns in the US Equity Market","authors":"Roger Clarke, Harindra de Silva, Steven Thorley","doi":"10.1080/0015198x.2024.2351020","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2351020","url":null,"abstract":"We examine nonlinear return-to-characteristic relationships for five equity market factors: value, momentum, small size, low beta, and profitability. Our study employs monthly returns and character...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"72 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141502792","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-10DOI: 10.1080/0015198x.2024.2332164
Gianluca De Nard, Robert F. Engle, Bryan Kelly
We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to co...
{"title":"Factor-Mimicking Portfolios for Climate Risk","authors":"Gianluca De Nard, Robert F. Engle, Bryan Kelly","doi":"10.1080/0015198x.2024.2332164","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2332164","url":null,"abstract":"We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to co...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"8 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140927101","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-04-29DOI: 10.1080/0015198x.2024.2335142
David Blitz, Mike Chen, Clint Howard, Harald Lohre
Traditional mean-variance portfolio optimization is based on the premise that investors only care about risk and return. However, some investors also have non-financial objectives such as sustainab...
{"title":"3D Investing: Jointly Optimizing Return, Risk, and Sustainability","authors":"David Blitz, Mike Chen, Clint Howard, Harald Lohre","doi":"10.1080/0015198x.2024.2335142","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2335142","url":null,"abstract":"Traditional mean-variance portfolio optimization is based on the premise that investors only care about risk and return. However, some investors also have non-financial objectives such as sustainab...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"39 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140832033","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-21DOI: 10.1080/0015198x.2024.2313692
Kai Cao, Haifeng You
We examine the efficacy of machine learning in a central task of fundamental analysis: forecasting corporate earnings. We find that machine learning models not only generate significantly more accu...
{"title":"Fundamental Analysis via Machine Learning","authors":"Kai Cao, Haifeng You","doi":"10.1080/0015198x.2024.2313692","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2313692","url":null,"abstract":"We examine the efficacy of machine learning in a central task of fundamental analysis: forecasting corporate earnings. We find that machine learning models not only generate significantly more accu...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"293 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140203671","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-21DOI: 10.1080/0015198x.2024.2317333
Roderick Molenaar, Edouard Sénéchal, Laurens Swinkels, Zhenping Wang
The correlation between stock and bond returns is a cornerstone of asset allocation decisions. History reveals abrupt regime shifts in correlation after long periods of relative stability. We inves...
{"title":"Empirical Evidence on the Stock–Bond Correlation","authors":"Roderick Molenaar, Edouard Sénéchal, Laurens Swinkels, Zhenping Wang","doi":"10.1080/0015198x.2024.2317333","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2317333","url":null,"abstract":"The correlation between stock and bond returns is a cornerstone of asset allocation decisions. History reveals abrupt regime shifts in correlation after long periods of relative stability. We inves...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"365 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140203603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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