An Economic Framework for ESG Investing
Responsible Investing: The ESG Efficient Frontier Pedersen, Fitzgibbons, and PomorskiJournal of Financial Economics, 2020A version of this paper can be found hereWant to read our summaries [...]
Responsible Investing: The ESG Efficient Frontier Pedersen, Fitzgibbons, and PomorskiJournal of Financial Economics, 2020A version of this paper can be found hereWant to read our summaries [...]
CFO Gender and Financial Statement Irregularities V.K.Gupta, S. Mortal, B. Chakrabarty, X. Guo, D. B. TurbanAcademy of Management Journal, 2019A version of this paper can [...]
Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News S.R. Das, S. Kim, B. KothariJournal of Financial Data Science, Spring 2019A version [...]
How news and its context drive risk and returns around the world Charles Calomiris and Harry MamayskyJournal of Financial Economics, August 2019A version of this [...]
We at ENJINE are big believers in the potential of machine learning (or as some call, “artificial intelligence”) to transform asset management. However, it’s fair [...]
Predicting Bond Returns: 70 Years of International Evidence Guido Baltussen, Martin Martens, Olaf PenningaWorking PaperA version of this paper can be found hereWant to read our [...]
When More or Less is Less: Managers' Clichès J. Klevak, J. Livnat, and K. SuslavaJournal of Financial Data Science, Summer 2019A version of this paper [...]
Quantitative factor portfolios generally use historical company fundamental data in portfolio construction. The key assumption behind this approach is that past fundamentals proxy for elements [...]
This blog talks about reinforcement learning for trading applications. Once one of my pups found half a roast chicken in the corner of a parking [...]
Shiller's CAPE ratio is a popular and useful metric for measuring whether stock prices are overvalued or undervalued relative to earnings. Recently, Vanguard analysts Haifeng [...]
Researchers love novel datasets--it gives them a new set of information to conduct studies and test theories. That brings us to this paper, titled "Core [...]
You can watch the video via this link: https://www.youtube.com/embed/tVwwZ1-bThI This week Ryan and I discuss two editorials on machine learning and its impact and [...]
In the last post in our machine learning series, we showed how nonlinear regression algos might improve regression forecasting relative to plain vanilla linear regression (i.e., [...]
A Backtesting Protocol in the Era of Machine Learning Rob Arnott, Campbell Harvey, and Harry MarkowitzWorking paperA version of this paper can be found hereWant to [...]
Recently, Wes pointed me to this interesting paper by David Rapach, Jack Strauss, Jun Tu and Guofu Zhou: "Dynamic Return Dependencies Across Industries: A Machine [...]
If you are out to describe the truth, leave elegance to the tailor. — Albert Einstein Machine learning is everywhere now, from self-driving cars to [...]
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