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The Review of Financial Studies

Volume 33 · Issue 5

May 1, 202010 articles

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Victor DeMiguel · Alberto Martín-Utrera · Francisco J Nogales · Raman Uppal

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May 1, 2020pp. 2180-2222DOI: 10.1093/rfs/hhz085 ↗

Anomalies and False Rejections

Tarun Chordia · Amit Goyal · Alessio Saretto

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May 1, 2020pp. 2134-2179DOI: 10.1093/rfs/hhaa018 ↗

Comparing Cross-Section and Time-Series Factor Models

Eugene F Fama · Kenneth R French

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May 1, 2020pp. 1891-1926DOI: 10.1093/rfs/hhz089 ↗

Dissecting Characteristics Nonparametrically

Joachim Freyberger · Andreas Neuhierl · Michael Weber

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May 1, 2020pp. 2326-2377DOI: 10.1093/rfs/hhz123 ↗

Empirical Asset Pricing via Machine Learning

Shihao Gu · Bryan Kelly · Dacheng Xiu

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May 1, 2020pp. 2223-2273DOI: 10.1093/rfs/hhaa009 ↗

Factor Timing

Valentin Haddad · Serhiy Kozak · Shrihari Santosh

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May 1, 2020pp. 1980-2018DOI: 10.1093/rfs/hhaa017 ↗

Factors That Fit the Time Series and Cross-Section of Stock Returns

Martin Lettau · Markus Pelger

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May 1, 2020pp. 2274-2325DOI: 10.1093/rfs/hhaa020 ↗

New Methods for the Cross-Section of Returns

G Andrew Karolyi · Stijn Van Nieuwerburgh

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May 1, 2020pp. 1879-1890DOI: 10.1093/rfs/hhaa019 ↗

Replicating Anomalies

Kewei Hou · Chen Xue · Lu Zhang

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May 1, 2020pp. 2019-2133DOI: 10.1093/rfs/hhy131 ↗

The Cross-Section of Risk and Returns

Kent Daniel · Lira Mota · Simon Rottke · Tano Santos

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May 1, 2020pp. 1927-1979DOI: 10.1093/rfs/hhaa021 ↗