Svetlana Bryzgalova

London Business School - Department of Finance

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 14,798

in Total Papers Downloads

4,422

SSRN CITATIONS
Rank 30,715

SSRN RANKINGS

Top 30,715

in Total Papers Citations

18

CROSSREF CITATIONS

10

Scholarly Papers (4)

1.

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

Number of pages: 59 Posted: 19 Dec 2019 Last Revised: 20 Sep 2021
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 2,183 (8,886)
Citation 16

Abstract:

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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: 84 Posted: 04 Dec 2019 Last Revised: 22 Sep 2021
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 1,936 (10,851)
Citation 9

Abstract:

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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: 83 Posted: 12 Mar 2021 Last Revised: 11 Nov 2021
Svetlana Bryzgalova and Christian Julliard
London Business School - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 218 (181,659)
Citation 1

Abstract:

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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: 23 Posted: 04 Aug 2020 Last Revised: 15 Sep 2021
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 85 (375,334)

Abstract:

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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: 149
1.

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

Number of pages: 153 Posted: 13 May 2020 Last Revised: 20 Sep 2021
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 149

Abstract:

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