The Review of Financial Studies, Vol. 34, No. 1 (January 2021), pp. 149-193 (45 pages) We analyze the out-of-sample performance of variables shown to forecast future mutual fund alphas. The degree of ...

Equity factors like value, momentum, and low-risk have been robust and persistent for over 150 years, dispelling concerns about data mining and performance decay. The study extends the CRSP dataset ...

We introduce the performance-based Shapley value (PBSV) to measure the contributions of individual predictors to the out-of-sample loss for time-series forecasting models. Our new metric allows a ...

Although next-generation sequencing (NGS) keeps giving—exploring the human genome and revolutionizing our knowledge of health and disease—it needs to take a little, too. At the very least, NGS ...

Pew Research Center designed this study to assess the current state of online survey sampling methods – both probability-based and opt-in – and determine their accuracy on general population estimates ...

Are Machine Learning (ML) algorithms superior to traditional econometric models for GDP nowcasting in a time series setting? Based on our evaluation of all models from both classes ever used in ...