Samuel Brodsky Thompson

Arrowstreet Capital, L.P.

Manager, Research

44 Brattle St., 5th Floor

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 11,045

SSRN RANKINGS

Top 11,045

in Total Papers Downloads

5,606

SSRN CITATIONS
Rank 3,492

SSRN RANKINGS

Top 3,492

in Total Papers Citations

268

CROSSREF CITATIONS

121

Scholarly Papers (7)

1.

Simple Formulas for Standard Errors that Cluster by Both Firm and Time

Number of pages: 25 Posted: 13 Jul 2006 Last Revised: 18 May 2009
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.
Downloads 2,855 (5,612)
Citation 220

Abstract:

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cluster standard errors, panel data, finance panel data

Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

Harvard Institute of Economic Research Discussion Paper No. 2084
Number of pages: 30 Posted: 28 Jul 2005
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.
Downloads 811 (38,170)
Citation 59

Abstract:

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Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

Number of pages: 29 Posted: 09 Aug 2005 Last Revised: 03 Nov 2021
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.
Downloads 127 (283,106)
Citation 3

Abstract:

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3.
Downloads 818 ( 38,205)
Citation 4

New Forecasts of the Equity Premium

Number of pages: 56 Posted: 10 Jan 2005
Christopher Polk, Samuel Brodsky Thompson and Tuomo Vuolteenaho
London School of Economics, Arrowstreet Capital, L.P. and Arrowstreet Capital, LP
Downloads 758 (41,824)

Abstract:

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risk premium, beta, bias, size, conditional test

New Forecasts of the Equity Premium

Number of pages: 57 Posted: 19 Apr 2004 Last Revised: 09 Jun 2021
Christopher Polk, Samuel Brodsky Thompson and Tuomo Vuolteenaho
London School of Economics, Arrowstreet Capital, L.P. and Arrowstreet Capital, LP
Downloads 60 (452,591)

Abstract:

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4.
Downloads 498 ( 72,810)
Citation 14

Volatility Comovement: A Multifrequency Approach

Sauder School of Business Working Paper
Number of pages: 41 Posted: 31 Aug 2004
Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 385 (97,833)

Abstract:

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Multivariate MSM, comovement, maximum likelihood, particle filter, Markov-switching, stochastic volatility, multifrequency volatility decomposition, value at risk, quantile forecasts

Volatility Comovement: A Multifrequency Approach

Number of pages: 42 Posted: 15 Aug 2007 Last Revised: 29 Oct 2021
Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 113 (308,358)

Abstract:

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Identifying Term Structure Volatility from the Libor-Swap Curve

Number of pages: 47 Posted: 04 Jan 2005
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.
Downloads 418 (88,878)
Citation 18

Abstract:

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term structure models, affine models

Identifying Term Structure Volatility from the Libor-Swap Curve

Review of Financial Studies, Vol. 21, Issue 2, pp. 819-854, 2008
Posted: 26 Jun 2008
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.

Abstract:

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C52, G13

6.

Optimal Versus Robust Inference in Nearly Integrated Non Gaussian Models

Number of pages: 32 Posted: 25 Apr 2003
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.
Downloads 79 (385,455)
Citation 1

Abstract:

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Near Unit Root, Robust Tests, Optimal Tests

7.

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1509-1531, 2008
Posted: 08 Aug 2008
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.

Abstract:

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G10, G11