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This paper proposes a new approach to the "factor zoo" conundrum. Instead of applying dimension-reduction methods to a large set of portfolios obtained from sorts on characteristics, I construct factors that summarize the information in characteristics across assets and then sort assets into...
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Machine learning methods in asset pricing are often criticized for their black box nature. We study this issue by predicting corporate bond returns using interpretable machine learning on a high-dimensional bond characteristics dataset. We achieve state-of-the-art performance while maintaining...
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"Three shocks, distinguished by whether their effects are permanent or transitory, are identified to characterize the post-war dynamics of aggregate consumer spending, labor earnings, and household wealth. The first shock accounts for virtually all of the variation in consumption and has effects...
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