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B1077
Title: Searching for dusty corners: Understanding the prediction of the cross-section of returns Authors:  Carlos Carvalho - The University of Texas at Austin (United States) [presenting]
Abstract: Bayesian nonparametric regression models will be presented in order to predict equity returns from various characteristics. We will focus on model modifications that will incorporate economic information, time variability and explore ways to develop interpretable summaries of otherwise black-box strategies.