Finance/Quant Finance

1. Alternative Data

  1. Cohen, Lauren, Christopher Malloy, and Quoc Nguyen. "Lazy prices." The Journal of Finance 75, no. 3 (2020): 1371-1415.
  2. Green, T. Clifton, Ruoyan Huang, Quan Wen, and Dexin Zhou. "Crowdsourced employer reviews and stock returns." Journal of Financial Economics 134, no. 1 (2019): 236-251.
  3. Lee, Charles MC, Stephen Teng Sun, Rongfei Wang, and Ran Zhang. "Technological links and predictable returns." Journal of Financial Economics 132, no. 3 (2019): 76-96.
  4. Bekkerman, R., E. M. Fich, and N. V. Khimich (2022). The effect of innovation similarity on asset prices: Evidence from patents' big data. Review of Asset Pricing Studies
  5. Da, Zhi, Xing Huang, and Lawrence J. Jin. "Extrapolative beliefs in the cross-section: What can we learn from the crowds?." Journal of Financial Economics 140, no. 1 (2021): 175-196.
  6. Parsons, Christopher A., Riccardo Sabbatucci, and Sheridan Titman. "Geographic lead-lag effects." The Review of Financial Studies 33, no. 10 (2020): 4721-4770.
  7. Ali, Usman, and David Hirshleifer. "Shared analyst coverage: Unifying momentum spillover effects." Journal of Financial Economics 136, no. 3 (2020): 649-675.
  8. Boehmer, Ekkehart, Charles M. Jones, Xiaoyan Zhang, and Xinran Zhang. "Tracking retail investor activity." The Journal of Finance 76, no. 5 (2021): 2249-2305.
  9. Zhai, Xiao-ying, Ying-ying Hou, and Yuan-shun Li. "Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in China." Journal of Business Economics and Management 21, no. 3 (2020): 914-941.
  10. Bonne, George, Andrew W. Lo, Abilash Prabhakaran, Kien Wei Siah, Manish Singh, Xinxin Wang, Peter Zangari, and Howard Zhang. "An Artificial Intelligence-Based Industry Peer Grouping System." The Journal of Financial Data Science 4, no. 2 (2022): 9-36.
  11. Bryzgalov, S., S. Lerner, M. Lettau, and M. Pelger (2022). Missing financial data. Working paper.
  12. van Binsbergen, Jules H. Liang Ma, and Michael Schwert. "The Factor Multiverse: The Role of Interest Rates in Factor Discovery." SSRN Working Paper (2022).

2. Asset Pricing

  1. Hou, Kewei, Chen Xue, and Lu Zhang. "Digesting anomalies: An investment approach." The Review of Financial Studies 28, no. 3 (2015): 650-705.
  2. Hou, K., H. Mo, C. Xue, and L. Zhang. q5. Charles A. No. 2018-10. Dice Center Working Paper, 2018.
  3. Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang. "Which factors?." Review of Finance 23, no. 1 (2019): 1-35.
  4. Hou, Kewei, Chen Xue, and Lu Zhang. "Replicating anomalies." The Review of Financial Studies 33, no. 5 (2020): 2019-2133.
  5. Daniel, Kent, David Hirshleifer, and Lin Sun. "Short-and long-horizon behavioral factors." The Review of Financial Studies 33, no. 4 (2020): 1673-1736.
  6. Stambaugh, Robert F., and Yu Yuan. "Mispricing factors." The Review of Financial Studies 30, no. 4 (2017): 1270-1315.
  7. Moskowitz, Tobias J., Yao Hua Ooi, and Lasse Heje Pedersen. "Time series momentum." Journal of financial economics 104, no. 2 (2012): 228-250.
  8. Huang, Dashan, Jiangyuan Li, Liyao Wang, and Guofu Zhou. "Time series momentum: Is it there?." Journal of Financial Economics 135, no. 3 (2020): 774-794.
  9. Goyal, Amit, and Narasimhan Jegadeesh. "Cross-sectional and time-series tests of return predictability: What is the difference?." The Review of Financial Studies 31, no. 5 (2018): 1784-1824.
  10. Lee, Charles, Yuanyu Qu, and Tao Shen. "Reverse mergers, shell value, and regulation risk in Chinese equity markets." (2017).
  11. 屈源育, 沈涛, and 吴卫星. "壳溢价: 错误定价还是管制风险?." 金融研究 453, no. 3 (2018): 155-171.
  12. Liu, Jianan, Robert F. Stambaugh, and Yu Yuan. "Size and value in China." Journal of Financial Economics 134, no. 1 (2019): 48-69.
  13. Jegadeesh, Narasimhan, Joonki Noh, Kuntara Pukthuanthong, Richard Roll, and Junbo Wang. "Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation." Journal of Financial Economics 133, no. 2 (2019): 273-298.
  14. Fama, Eugene F., and Kenneth R. French. "Comparing cross-section and time-series factor models." The Review of Financial Studies 33, no. 5 (2020): 1891-1926.
  15. Kozak, Serhiy, Stefan Nagel, and Shrihari Santosh. "Interpreting factor models." The Journal of Finance 73, no. 3 (2018): 1183-1223.
  16. Barillas, Francisco, and Jay Shanken. "Which alpha?." The Review of Financial Studies 30, no. 4 (2017): 1316-1338.
  17. Light, Nathaniel, Denys Maslov, and Oleg Rytchkov. "Aggregation of information about the cross section of stock returns: A latent variable approach." The Review of Financial Studies 30, no. 4 (2017): 1339-1381.
  18. Pástor, Ľuboš, Robert F. Stambaugh, and Lucian A. Taylor. "Sustainable investing in equilibrium." Journal of Financial Economics 142, no. 2 (2021): 550-571.
  19. Pástor, Ľuboš, Robert F. Stambaugh, and Lucian A. Taylor. "Dissecting green returns." Journal of Financial Economics 146, no. 2 (2022): 403-424.
  20. Fergis, Kristin, Katelyn Gallagher, Philip Hodges, and Ked Hogan. "Defensive Factor Timing." The Journal of Portfolio Management 45, no. 3 (2019): 50-68.
  21. Da, Liu, and Schaumburg (2013 MS) A Closer Look at the Short-Term Return Reversal
  22. Piotroski (2000 JAR) Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers
  23. Zhu, Z., L. Sun, and M. Chen (2019). Fundamental strength and short-term return reversal.
  24. Piotroski and So (2012 RFS) Identifying Expectation Errors in Value/Glamour Strategies
  25. Ehsani and Linnainmaa (2022 JoF). Factor momentum and the momentum factor.
  26. Daniel and Moskowitz (2016 JFE) Momentum crashes
  27. Atilgan et al. (2020 JFE) Left-tail momentum- Underreaction to bad news, costly arbitrage and equity returns
  28. Han, Y., Zhou, G., Y. Zhu (2016 JFE). A trend factor: any economic gains from using information over investment horizons?
  29. Cao, Sean Shun, Kai Du, Baozhong Yang, and Alan Zhang. (JAR 2021) Copycat skills and disclosure costs: Evidence from peer companies’ digital footprints.

3. Behavioral Finance

  1. Kahneman, Daniel, and Amos Tversky. "Prospect Theory: An Analysis of Decision under Risk." Econometrica 47, no. 2 (1979): 263-292.
  2. Thaler, Richard. "Mental accounting and consumer choice." Marketing science 4, no. 3 (1985): 199-214.
  3. Barberis, Nicholas, and Richard Thaler. "A survey of behavioral finance." Handbook of the Economics of Finance 1 (2003): 1053-1128.
  4. Barberis, Nicholas. "Psychology-based models of asset prices and trading volume." In Handbook of behavioral economics: applications and foundations 1, vol. 1, pp. 79-175. North-Holland, 2018.
  5. Da, Zhi, Umit G. Gurun, and Mitch Warachka. "Frog in the pan: Continuous information and momentum." The review of financial studies 27, no. 7 (2014): 2171-2218.
  6. Bali, Turan G., Nusret Cakici, and Robert F. Whitelaw. "Maxing out: Stocks as lotteries and the cross-section of expected returns." Journal of financial economics 99, no. 2 (2011): 427-446.
  7. Meursault, Vitaly, Pierre Jinghong Liang, Bryan Routledge, and Madeline Scanlon. "PEAD. txt: Post-Earnings-Announcement Drift Using Text." Available at SSRN 3778798 (2021).
  8. Stambaugh, Robert F., Jianfeng Yu, and Yu Yuan. "Arbitrage asymmetry and the idiosyncratic volatility puzzle." The Journal of Finance 70, no. 5 (2015): 1903-1948.
  9. Han, Yufeng, Dashan Huang, Dayong Huang and Guofu Zhou, 2022, Expected return, volume, and mispricing, Journal of Financial Economics 143(3), 1295-1315.
  10. Atmaz, Adem, and Suleyman Basak. "Belief dispersion in the stock market." The Journal of Finance 73, no. 3 (2018): 1225-1279.
  11. Lou, Dong, Christopher Polk, and Spyros Skouras. "A tug of war: Overnight versus intraday expected returns." Journal of Financial Economics 134, no. 1 (2019): 192-213.
  12. Akbas, Ferhat, Ekkehart Boehmer, Chao Jiang, and Paul D. Koch. "Overnight returns, daytime reversals, and future stock returns." Journal of Financial Economics 145, no. 3 (2022): 850-875.
  13. 何贵华, 崔宸瑜, 高皓, and 屈源育. "名义价格幻觉——基于证券分析师目标价格预测的经验证据." 金融研究 492, no. 6 (2021): 189-206.
  14. Liu, Bibo, Huijun Wang, Jianfeng Yu, and Shen Zhao. "Time-varying demand for lottery: Speculation ahead of earnings announcements." Journal of Financial Economics 138, no. 3 (2020): 789-817.
  15. Xu, Yongxin, Yuhao Xuan, and Gaoping Zheng. "Internet searching and stock price crash risk: Evidence from a quasi-natural experiment." Journal of Financial Economics 141, no. 1 (2021): 255-275.

4. Cryptocurrency

  1. Haeringer, Guillaume, and Hanna Halaburda. "Bitcoin: a revolution?." Economic analysis of the digital revolution," J. Ganuza and G. Llobert,(eds)., FUNCAS (2018).
  2. Nakamoto, Satoshi, and A. Bitcoin. "A peer-to-peer electronic cash system." Bitcoin.–URL: https://bitcoin. org/bitcoin. pdf 4 (2008).
  3. Haber, Stuart, and W. Scott Stornetta. "How to time-stamp a digital document." In Conference on the Theory and Application of Cryptography, pp. 437-455. Springer, Berlin, Heidelberg, 1990.
  4. Cong, Lin William, Zhiguo He, and Jiasun Li. "Decentralized mining in centralized pools." The Review of Financial Studies 34, no. 3 (2021): 1191-1235.
  5. Eyal, Ittay, and Emin Gün Sirer. "Majority is not enough: Bitcoin mining is vulnerable." In International conference on financial cryptography and data security, pp. 436-454. Springer, Berlin, Heidelberg, 2014.
  6. Cohen, Lauren, Christopher Malloy, and Quoc Nguyen. "Lazy prices." The Journal of Finance 75, no. 3 (2020): 1371-1415.
  7. Halaburda, Hanna, Miklos Sarvary, and Guillaume Haeringer. The Rich Landscape of Crypto. Springer, 2022.
  8. Saleh, Fahad. "Blockchain without waste: Proof-of-stake." The Review of financial studies 34, no. 3 (2021): 1156-1190.
  9. Atzei, Nicola, Massimo Bartoletti, and Tiziana Cimoli. "A survey of attacks on ethereum smart contracts (sok)." In International conference on principles of security and trust, pp. 164-186. Springer, Berlin, Heidelberg, 2017.
  10. Howell, Sabrina T., Marina Niessner, and David Yermack. "Initial coin offerings: Financing growth with cryptocurrency token sales." The Review of Financial Studies 33, no. 9 (2020): 3925-3974.
  11. Hubrich, Stefan. "'Know When to Hodl'Em, Know When to Fodl'Em': An Investigation of Factor Based Investing in the Cryptocurrency Space." Know When to Fodl'Em': An Investigation of Factor Based Investing in the Cryptocurrency Space (October 28, 2017) (2017).

5. Machine Learning Finance

  1. Gu, Shihao, Bryan Kelly, and Dacheng Xiu. "Autoencoder asset pricing models." Journal of Econometrics 222, no. 1 (2021): 429-450.
  2. Kelly, Bryan T., Seth Pruitt, and Yinan Su. "Characteristics are covariances: A unified model of risk and return." Journal of Financial Economics 134, no. 3 (2019): 501-524.
  3. Gu, Shihao, Bryan Kelly, and Dacheng Xiu. "Empirical asset pricing via machine learning." The Review of Financial Studies 33, no. 5 (2020): 2223-2273.
  4. Feng, Guanhao, Nick Polson, and Jianeng Xu. "Deep learning in characteristics-sorted factor models." Available at SSRN 3243683 (2021).
  5. Feng, Guanhao, Stefano Giglio, and Dacheng Xiu. "Taming the factor zoo: A test of new factors." The Journal of Finance 75, no. 3 (2020): 1327-1370.
  6. Chen, Luyang, Markus Pelger, and Jason Zhu. "Deep learning in asset pricing." Available at SSRN 3350138 (2020).
  7. Han, Yufeng, Ai He, David Rapach, and Guofu Zhou. "What firm characteristics drive us stock returns." Available at SSRN (2018).
  8. Arnott, Rob, Campbell R. Harvey, and Harry Markowitz. "A backtesting protocol in the era of machine learning." The Journal of Financial Data Science 1, no. 1 (2019): 64-74.
  9. Bailey, David H., Jonathan Borwein, Marcos Lopez de Prado, and Qiji Jim Zhu. "The probability of backtest overfitting." Journal of Computational Finance, forthcoming (2016).
  10. Sarmento, Simão Moraes, and Nuno Horta. "Enhancing a pairs trading strategy with the application of machine learning." Expert Systems with Applications 158 (2020): 113490.

6. Market Microstrcure

  1. Christie, William G., and Paul H. Schultz. "Why do NASDAQ market makers avoid odd‐eighth quotes?." The Journal of Finance 49, no. 5 (1994): 1813-1840.
  2. Black, Fischer. "Noise." The Journal of Finance 41, no. 3 (1986): 528-543.
  3. Bagehot, Walter. "The only game in town." Financial Analysts Journal 27, no. 2 (1971): 12-14.
  4. Hansen, Peter R., and Asger Lunde. "Realized variance and market microstructure noise." Journal of Business & Economic Statistics 24, no. 2 (2006): 127-161.

7. P-hacking and Out-of-Sample

  1. Harvey, Campbell R., and Yan Liu. "Lucky factors." Journal of Financial Economics 141, no. 2 (2021): 413-435.

  2. Harvey, Campbell R., Yan Liu, and Heqing Zhu. "… and the cross-section of expected returns." The Review of Financial Studies 29, no. 1 (2016): 5-68.

  3. Harvey, Campbell R. "Presidential address: The scientific outlook in financial economics." The Journal of Finance 72, no. 4 (2017): 1399-1440.
  4. Novy-Marx, Robert. Backtesting strategies based on multiple signals. No. w21329. National Bureau of Economic Research, 2015.
  5. Chordia, Tarun, Amit Goyal, and Alessio Saretto. "Anomalies and false rejections." The Review of Financial Studies 33, no. 5 (2020): 2134-2179.
  6. Chen, Andrew Y. "The Limits of p‐Hacking: Some Thought Experiments." The Journal of Finance 76, no. 5 (2021): 2447-2480.
  7. Harvey, Campbell R., and Yan Liu. "Uncovering the iceberg from its tip: A model of publication bias and p-hacking." Available at SSRN 3865813 (2021).
  8. Harvey, Campbell R., and Yan Liu. "False (and missed) discoveries in financial economics." The Journal of Finance 75, no. 5 (2020): 2503-2553.
  9. Martin, Ian WR, and Stefan Nagel. "Market efficiency in the age of big data." Journal of Financial Economics (2021).
  10. McLean, R. David, and Jeffrey Pontiff. "Does academic research destroy stock return predictability?." The Journal of Finance 71, no. 1 (2016): 5-32.
  11. Bowles, Boone, Adam V. Reed, Matthew C. Ringgenberg, and Jacob R. Thornock. "Anomaly time." Available at SSRN 3069026 (2020).
  12. Novy-Marx, Robert, and Mihail Velikov. "A taxonomy of anomalies and their trading costs." The Review of Financial Studies 29, no. 1 (2016): 104-147.

8. Reinforcement Learning for Finance

  1. Halperin, Igor, and Ilya Feldshteyn. "Market self-learning of signals, impact and optimal trading: Invisible hand inference with free energy." arXiv preprint arXiv:1805.06126 (2018).

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