Svetlana Bryzgalova

Assistant Professor of Finance, London Business School

Website

Publications

Discussion Papers
Jan 2020
DP 93
We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both tradable and non-tradable factors, and is applicable to high dimensional cases, has several...
Discussion Papers
Jan 2020
DP 92
Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The central insight of these models is that, in equilibrium, both consumption and returns are largely driven...