Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...

Andrikogiannopoulou and Papakonstantinou (AP; 2019) conduct an inquiry into the bias of the False Discovery Rate (FDR) estimators of Barras, Scaillet, and Wermers (BSW; 2010). In this Reply, we replicate their results, then further explore the bias issue by (i) using different parameter values,...

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

We develop theory of a novel fast bootstrap for dependent data. Our scheme deploys i.i.d. resampling of smoothed moment indicators. We characterize the class of parametric and semiparametric estimation problems for which the method is valid. We show the asymptotic re refinements of the new...

We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps...

We build a simple diagnostic criterion for approximate factor structure in large panel datasets. Given observable factors, the criterion checks whether the errors are weakly cross-sectionally correlated or share at least one unobservable common factor (interactive effects). A general version...

We develop a novel approach to jointly examine skill, scale, and value added across individual funds. We find that the value added is (i) positive for the vast majority of funds, and (ii) close to its optimal level after an adjustment period possibly due to investors' learning. We also show that...

We study the asymptotic distribution of Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is...

We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes instruments common to all assets and asset...