Cross-Country Predictability of Equity Anomaly Returns
A study of whether an equity anomaly’s returns in other countries predict its subsequent returns in a held-out country.
- Asset Pricing
- Factors
- Machine Learning
Projects
Student projects that explore research questions and build tools for quantitative finance.
Planned
Real-Time Forecasting of U.S. Treasury Bond Excess Returns
An evaluation of statistical and machine-learning forecasts of Treasury bond excess returns using macroeconomic data available at each forecast date.
- Fixed Income
- Macro
- Machine Learning