In this paper we investigate a class of semiparametric models for panel datasets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecasted along with a nonparametric covariate effect. Our model is motivated by...

We document a striking pattern in U.S.and international stock returns: Double sorting on last month's return and share turnover reveals significant short-term reversal among low-turnover stocks whereas high-turnover stocks exhibit short-term momentum. Short-term momentum is as profitable and as...