I solve a simple model with multiple carbon pricing mechanisms: carbon taxes, carbon allowances, carbon offsets, sustainable finance regulation, and ESG investing. The social optimum is achieved by a common carbon price levied on scope 1 emissions and no sustainable finance regulation or ESG...

These lecture notes are part of a course on Big Data Asset Pricing. The topics covered in this Primer on Empirical Asset Pricing include the basic questions in empirical asset pricing, how to make factors, how to use factors in factor models, regressions (time series, cross-sectional,...

These lecture notes are part of a course on Big Data Asset Pricing. The topics covered include the factor zoo, replication in science and in finance, frequentist multiple testing adjustments, a Bayesian model to interpret factor evidence and preserve power in its multiple testing adjustment, and...

These lecture notes are part of a course on Big Data Asset Pricing. The topics covered include fundamentals of asset pricing with frictions, transaction costs and market liquidity risk, funding liquidity risk, margin requirements, new directions, and machine learning with frictions.For more...

These lecture notes are part of a course on Big Data Asset Pricing. The topics covered include an overview of machine learning, supervised and unsupervised learning, and general ML methods such as bias-variance trade-off, hyper-parameter tuning, train-validation-test methods, and feature...

These exercises are part of a course on Big Data Asset Pricing. The exercises train students in working with big asset pricing data in light of economic theory, including beta-dollar neutral portfolio construction, constructing value factors, factor replication analysis and multiple testing...

We propose a new asset-pricing framework in which all securities’ signals are used to predict each individual return. While the literature focuses on each security’s own-signal predictability, assuming an equal strength across securities, our framework is flexible and includes...