Research highlight
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Journal of Finance, 78 (1), 487-557
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...
DP 93
Consumption in Asset Returns
Using information in returns we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to...
DP 92