Studies that have been using our data (we’ll update the list occasionally):
- Muravyev, Dmitriy, Neil D. Pearson and Joshua Matthew Pollet (2022). Anomalies and Their Short-Sale Costs. Available at SSRN 4266059
- Babii, Andrii, Eric Ghysels, and Junsu Pan (2022). Tensor Principal Component Analysis. arXiv preprint arXiv:2212.12981.
- Da, Rui, Stefan Nagel, and Dacheng Xiu (2022). The Statistical Limit of Arbitrage. Technical Report, Chicago Booth.
- Dello Preite, Massimo, Raman Uppal, Paolo Zaaroni, and Irina Zviadadze (2022). What is Missing in Asset-Pricing Factor Models? Available at SSRN 4135146.
- Simon, Frederik, Sebastian Weibels, and Tom Zimmermann (2022). Deep parametric portfolio policies. Available at SSRN 4150292.
- Holcblat, Benjamin, Abraham Lioui, and Michael Weber, 2022, Anomaly or Possible Risk Factor? Simple-To-Use Tests. Chicago Booth Research Paper 22-11.
- Filippou, Ilias, Songrun He, and Guofu Zhou, 2022, ETFs, Anomalies and Market Efficiency. Available at SSRN.
- Bessembinder, Hendrik, Aaron Burt, and Christopher M. Hrdlicka, 2021, Time Series Variation in the Factor Zoo.
- Beckmeyer, Heiner, and Timo Wiedemann, 2022, Recovering Missing Firm Characteristics with Attention-Based Machine Learning, Available at SSRN 4003455.
- Freyberger, Joachim, Björn Höppner, Andreas Neuhierl, and Michael Weber, 2021, Missing Data in Asset Pricing Panels, Available at SSRN.
- Abhyankar, Abhay, and Yudi Wu, 2021, Factor Forestry: Pruning using and Economic Chainsaw, Working Paper, Universitat Autonoma de Barcelona
- Ben-David, Itzhak, Jiacui Li, Andrea Rossi, and Yang Song, 2021, Discontinued Positive Feedback Trading and the Decline in Asset Pricing Factor Profitability, NBER Working Paper.
- Chabi-Yo, Fousseni, Andrei Goncalves, and Johnathan Loudis, 2021, An Intertemporal Risk Factor Model, Kenan Institute of Private Enterprise Research Paper.
- Chen, Andrew, Forthcoming, The Limits of P-Hacking: Some Thought Experiments, Journal of Finance.
- Chen, Andrew, and Mihail Velikov, 2020, Zeroing in on the Expected Returns of Anomalies, Working Paper, Pennsylvania State University
- Chen, Andrew and Tom Zimmermann, 2020, Publication Bias and the Cross Section of Stock Returns, Review of Asset Pricing Studies.
- Chen, Yaohan, 2020, Bayesian Techniques Applied in Counterfactual Analysis with High Dimensional Settings and Time Varying Properties, Working Paper, Singapore Management University.
- Detzel, Andrew, Robert Novy-Marx, and Mihail Velikov, 2021, Model Selection with Transaction Costs, Working Paper, University of Denver
- Giglio, Stefano, Dacheng Xiu, and Dake Zhang, 2020, Test Assets and Weak Factors, Chicago Booth Research Paper
- Han, Yufeng, Yueliang (Jacques) Lu, Weike Xu, and Guofu Zhou, 2021, Mispricing and Anomalies: An Exogenous Shock to Short Selling from the Dividend Tax Law Change, Working Paper
- Han, Yufeng, Ai He, David Rapach, and Guofu Zhou, 2021, Firm Characteristics and Expected Stock Returns, Working Paper, Washington University in St. Louis
- He, Ai, Dashan Huang, and Guofu Zhou, 2018, New factors wanted: Evidence from a simple specification test, Working Paper, Washington University in St. Louis
- Liao, Zhipeng, and Yan Liu, 2021, Optimal Cross-Sectional Regression, Working Paper, University of California, Los Angeles
- Liu, Yukun, and Aleh Tsyvinski, 2021, Risks and Returns of Cryptocurrency, Review of Financial Studies
- Rapach, David E. and Guofu Zhou, 2021, Sparse Macro Factors, Working Paper, Washington University in St. Louis