Svetlana Bryzgalova

London Business School - Department of Finance

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

  • London Business School - Department of Finance

SCHOLARLY PAPERS

4

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8

Scholarly Papers (4)

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1.

Forest Through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 79 Posted: 19 Dec 2019 Last Revised: 28 Sep 2020
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 1,337 (17,199)
Citation 12

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning

2.

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 08 Jul 2020
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 1,298 (17,994)
Citation 9

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Cross-Sectional Asset Pricing, Factor Models, Model Evaluation, Multiple Testing, Data Mining, P-Hacking, Bayesian Methods, shrinkage, SDF.

3.

Consumption

Number of pages: 74 Posted: 12 Mar 2021
Svetlana Bryzgalova and Christian Julliard
London Business School - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 76 (371,439)

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Consumption Dynamics, Asset Returns, Consumption-Based Asset Pricing, Term Structure

4.

Online Appendix for Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 40 Posted: 04 Aug 2020
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 63 (407,869)

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Cross-sectional asset pricing, factor models, model evaluation, multiple testing, data mining, p-hacking, Bayesian methods, shrinkage, SDF

Other Papers (1)

Total Downloads: 70
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1.

Internet Appendix for Forest through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 118 Posted: 13 May 2020 Last Revised: 01 Sep 2020
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 70

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning