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  "title": "Bayesian finance papers",
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    "value": "A list of Bayesian finance papers I've noticed. These are mostly sourced from the financial economics literature, and primarily so from the top three journals (_Journal of Finance_, _Review of Financial Studies_, and the _Journal of Financial Economics_). I exclude theoretical papers because the Bayesian component is usually not the most interesting part. I favor empirical papers that use some kind of Bayesian method. Suggestions welcome!\n\n## Papers\n\nAnderson, Evan W., and Ai-Ru (Meg) Cheng. “Robust Bayesian Portfolio Choices.” The Review of Financial Studies 29, no. 5 (May 1, 2016): 1330–75. https://doi.org/10.1093/rfs/hhw001.\n\nAvramov, Doron. “Stock Return Predictability and Asset Pricing Models.” The Review of Financial Studies 17, no. 3 (July 1, 2004): 699–738. https://doi.org/10.1093/rfs/hhg059.\n\n———. “Stock Return Predictability and Model Uncertainty.” Journal of Financial Economics 64, no. 3 (June 1, 2002): 423–58. https://doi.org/10.1016/S0304-405X(02)00131-9.\n\nBaks, Klaas P., Andrew Metrick, and Jessica Wachter. “Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation.” The Journal of Finance 56, no. 1 (2001): 45–85. https://doi.org/10.1111/0022-1082.00319.\n\nBarillas, Francisco, and Jay Shanken. “Comparing Asset Pricing Models.” The Journal of Finance 73, no. 2 (2018): 715–54. https://doi.org/10.1111/jofi.12607.\n\nBates, David S. “Maximum Likelihood Estimation of Latent Affine Processes.” The Review of Financial Studies 19, no. 3 (October 1, 2006): 909–65. https://doi.org/10.1093/rfs/hhj022.\n\nBollerslev, Tim, Benjamin Hood, John Huss, and Lasse Heje Pedersen. “Risk Everywhere: Modeling and Managing Volatility.” The Review of Financial Studies 31, no. 7 (July 1, 2018): 2729–73. https://doi.org/10.1093/rfs/hhy041.\n\nBrav, Alon. “Inference in Long-Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings.” The Journal of Finance 55, no. 5 (2000): 1979–2016. https://doi.org/10.1111/0022-1082.00279.\n\nBuehlmaier, Matthias M. M., and Toni M. Whited. “Are Financial Constraints Priced? Evidence from Textual Analysis.” The Review of Financial Studies 31, no. 7 (July 1, 2018): 2693–2728. https://doi.org/10.1093/rfs/hhy007.\n\nBulkley, George, and Paolo Giordani. “Structural Breaks, Parameter Uncertainty, and Term Structure Puzzles.” Journal of Financial Economics 102, no. 1 (October 1, 2011): 222–32. https://doi.org/10.1016/j.jfineco.2011.05.009.\n\nBusse, Jeffrey A., and Paul J. Irvine. “Bayesian Alphas and Mutual Fund Persistence.” The Journal of Finance 61, no. 5 (2006): 2251–88. https://doi.org/10.1111/j.1540-6261.2006.01057.x.\n\nCavagnaro, Daniel R., Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach. “Measuring Institutional Investors’ Skill at Making Private Equity Investments.” The Journal of Finance 74, no. 6 (2019): 3089–3134. https://doi.org/10.1111/jofi.12783.\n\nCremers, K. J. Martijn. “Stock Return Predictability: A Bayesian Model Selection Perspective.” The Review of Financial Studies 15, no. 4 (July 1, 2002): 1223–49. https://doi.org/10.1093/rfs/15.4.1223.\n\nDai, Qiang, Kenneth J. Singleton, and Wei Yang. “Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields.” The Review of Financial Studies 20, no. 5 (September 1, 2007): 1669–1706. https://doi.org/10.1093/rfs/hhm021.\n\nDangl, Thomas, and Michael Halling. “Predictive Regressions with Time-Varying Coefficients.” Journal of Financial Economics 106, no. 1 (October 1, 2012): 157–81. https://doi.org/10.1016/j.jfineco.2012.04.003.\n\nDurham, Garland B. “SV Mixture Models with Application to S&P 500 Index Returns.” Journal of Financial Economics 85, no. 3 (September 1, 2007): 822–56. https://doi.org/10.1016/j.jfineco.2006.06.005.\n\nEasley, David, Robert F. Engle, Maureen O’Hara, and Liuren Wu. “Time-Varying Arrival Rates of Informed and Uninformed Trades.” Journal of Financial Econometrics 6, no. 2 (March 1, 2008): 171–207. https://doi.org/10.1093/jjfinec/nbn003.\n\nEasley, David, Marcos Lopez de Prado, and Maureen O’Hara. “Discerning Information from Trade Data.” Journal of Financial Economics 120, no. 2 (May 1, 2016): 269–85. https://doi.org/10.1016/j.jfineco.2016.01.018.\n\nFrank, Murray Z., and Ali Sanati. “How Does the Stock Market Absorb Shocks?” Journal of Financial Economics 129, no. 1 (July 1, 2018): 136–53. https://doi.org/10.1016/j.jfineco.2018.04.002.\n\nFulop, Andras, Junye Li, and Jun Yu. “Self-Exciting Jumps, Learning, and Asset Pricing Implications.” The Review of Financial Studies 28, no. 3 (March 1, 2015): 876–912. https://doi.org/10.1093/rfs/hhu078.\n\nGallant, A. Ronald, Mohammad R Jahan-Parvar, and Hening Liu. “Does Smooth Ambiguity Matter for Asset Pricing?” The Review of Financial Studies 32, no. 9 (September 1, 2019): 3617–66. https://doi.org/10.1093/rfs/hhy118.\n\nGarlappi, Lorenzo, Raman Uppal, and Tan Wang. “Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.” The Review of Financial Studies 20, no. 1 (January 1, 2007): 41–81. https://doi.org/10.1093/rfs/hhl003.\n\nGeweke, John, and Guofu Zhou. “Measuring the Pricing Error of the Arbitrage Pricing Theory.” The Review of Financial Studies 9, no. 2 (April 1, 1996): 557–87. https://doi.org/10.1093/rfs/9.2.557.\n\nGray, Stephen F. “Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process.” Journal of Financial Economics 42, no. 1 (September 1, 1996): 27–62. https://doi.org/10.1016/0304-405X(96)00875-6.\n\nHan, Yufeng. “Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model.” The Review of Financial Studies 19, no. 1 (March 1, 2006): 237–71. https://doi.org/10.1093/rfs/hhj002.\n\nHarvey, Campbell R., and Yan Liu. “Cross-Sectional Alpha Dispersion and Performance Evaluation.” Journal of Financial Economics 134, no. 2 (November 1, 2019): 273–96. https://doi.org/10.1016/j.jfineco.2019.04.005.\n\n———. “Detecting Repeatable Performance.” The Review of Financial Studies 31, no. 7 (July 1, 2018): 2499–2552. https://doi.org/10.1093/rfs/hhy014.\n\nHarvey, Campbell R., Yan Liu, and Heqing Zhu. “… and the Cross-Section of Expected Returns.” The Review of Financial Studies 29, no. 1 (January 1, 2016): 5–68. https://doi.org/10.1093/rfs/hhv059.\n\nHarvey, Campbell R, and Guofu Zhou. “Bayesian Inference in Asset Pricing Tests.” Journal of Financial Economics 26, no. 2 (August 1, 1990): 221–54. https://doi.org/10.1016/0304-405X(90)90004-J.\n\nHenkel, Sam James, J. Spencer Martin, and Federico Nardari. “Time-Varying Short-Horizon Predictability.” Journal of Financial Economics 99, no. 3 (March 1, 2011): 560–80. https://doi.org/10.1016/j.jfineco.2010.09.008.\n\nJohannes, Michael, Lars A. Lochstoer, and Yiqun Mou. “Learning about Consumption Dynamics.” The Journal of Finance 71, no. 2 (2016): 551–600. https://doi.org/10.1111/jofi.12246.\n\nJohannes, Michael S., Nicholas G. Polson, and Jonathan R. Stroud. “Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices.” The Review of Financial Studies 22, no. 7 (July 1, 2009): 2759–99. https://doi.org/10.1093/rfs/hhn110.\n\nJones, Christopher S. “Nonlinear Mean Reversion in the Short-Term Interest Rate.” The Review of Financial Studies 16, no. 3 (July 1, 2003): 793–843. https://doi.org/10.1093/rfs/hhg014.\n\nJones, Christopher S., and Jay Shanken. “Mutual Fund Performance with Learning across Funds.” Journal of Financial Economics 78, no. 3 (December 1, 2005): 507–52. https://doi.org/10.1016/j.jfineco.2004.08.009.\n\nJulliard, Christian, and Anisha Ghosh. “Can Rare Events Explain the Equity Premium Puzzle?” The Review of Financial Studies 25, no. 10 (October 1, 2012): 3037–76. https://doi.org/10.1093/rfs/hhs078.\n\nKandel, Shmuel, and Robert F. Stambaugh. “On the Predictability of Stock Returns: An Asset-Allocation Perspective.” The Journal of Finance 51, no. 2 (1996): 385–424. https://doi.org/10.1111/j.1540-6261.1996.tb02689.x.\n\nKlein, Roger W., and Vijay S. Bawa. “The Effect of Estimation Risk on Optimal Portfolio Choice.” Journal of Financial Economics 3, no. 3 (June 1, 1976): 215–31. https://doi.org/10.1016/0304-405X(76)90004-0.\n\n———. “The Effect of Limited Information and Estimation Risk on Optimal Portfolio Diversification.” Journal of Financial Economics 5, no. 1 (August 1, 1977): 89–111. https://doi.org/10.1016/0304-405X(77)90031-9.\n\nLamoureux, Christopher G., and H. Douglas Witte. “Empirical Analysis of the Yield Curve: The Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross.” The Journal of Finance 57, no. 3 (2002): 1479–1520. https://doi.org/10.1111/1540-6261.00467.\n\nLamoureux, Christopher G., and Guofu Zhou. “Temporary Components of Stock Returns: What Do the Data Tell Us?” The Review of Financial Studies 9, no. 4 (October 1, 1996): 1033–59. https://doi.org/10.1093/rfs/9.4.1033.\n\nLi, Minqiang, Neil D. Pearson, and Allen M. Poteshman. “Conditional Estimation of Diffusion Processes.” Journal of Financial Economics 74, no. 1 (October 1, 2004): 31–66. https://doi.org/10.1016/j.jfineco.2004.03.001.\n\nMcCulloch, Robert, and Peter E. Rossi. “Posterior, Predictive, and Utility-Based Approaches to Testing the Arbitrage Pricing Theory.” Journal of Financial Economics 28, no. 1 (November 1, 1990): 7–38. https://doi.org/10.1016/0304-405X(90)90046-3.\n\nPástor, Ľuboš. “Portfolio Selection and Asset Pricing Models.” The Journal of Finance 55, no. 1 (2000): 179–223. https://doi.org/10.1111/0022-1082.00204.\n\nPástor, Ľuboš, and Robert F. Stambaugh. “Comparing Asset Pricing Models: An Investment Perspective.” Journal of Financial Economics 56, no. 3 (June 1, 2000): 335–81. https://doi.org/10.1016/S0304-405X(00)00044-1.\n\n———. “Costs of Equity Capital and Model Mispricing.” The Journal of Finance 54, no. 1 (1999): 67–121. https://doi.org/10.1111/0022-1082.00099.\n\n———. “Investing in Equity Mutual Funds.” Journal of Financial Economics 63, no. 3 (March 1, 2002): 351–80. https://doi.org/10.1016/S0304-405X(02)00065-X.\n\n———. “Mutual Fund Performance and Seemingly Unrelated Assets.” Journal of Financial Economics 63, no. 3 (March 1, 2002): 315–49. https://doi.org/10.1016/S0304-405X(02)00064-8.\n\nPettenuzzo, Davide, Allan Timmermann, and Rossen Valkanov. “Forecasting Stock Returns under Economic Constraints.” Journal of Financial Economics 114, no. 3 (December 1, 2014): 517–53. https://doi.org/10.1016/j.jfineco.2014.07.015.\n\nRouwenhorst, K. Geert. “Local Return Factors and Turnover in Emerging Stock Markets.” The Journal of Finance 54, no. 4 (1999): 1439–64. https://doi.org/10.1111/0022-1082.00151.\n\nShanken, Jay. “A Bayesian Approach to Testing Portfolio Efficiency.” Journal of Financial Economics 19, no. 2 (December 1, 1987): 195–215. https://doi.org/10.1016/0304-405X(87)90002-X.\n\nShanken, Jay, and Ane Tamayo. “Payout Yield, Risk, and Mispricing: A Bayesian Analysis.” Journal of Financial Economics 105, no. 1 (July 1, 2012): 131–52. https://doi.org/10.1016/j.jfineco.2011.12.002.\n\nStambaugh, Robert F. “Analyzing Investments Whose Histories Differ in Length.” Journal of Financial Economics 45, no. 3 (September 1, 1997): 285–331. https://doi.org/10.1016/S0304-405X(97)00020-2."
  },
  "publishedAt": "2020-04-19T07:00:00.000Z",
  "textContent": "A list of Bayesian finance papers I've noticed. These are mostly sourced from the financial economics literature, and primarily so from the top three journals (_Journal of Finance_, _Review of Financial Studies_, and the _Journal of Financial Economics_). I exclude theoretical papers because the Bayesian component is usually not the most interesting part. I favor empirical papers that use some kind of Bayesian method. Suggestions welcome!\n\nPapers\n\nAnderson, Evan W., and Ai-Ru (Meg) Cheng. “Robust Bayesian Portfolio Choices.” The Review of Financial Studies 29, no. 5 (May 1, 2016): 1330–75. https://doi.org/10.1093/rfs/hhw001.\n\nAvramov, Doron. “Stock Return Predictability and Asset Pricing Models.” The Review of Financial Studies 17, no. 3 (July 1, 2004): 699–738. https://doi.org/10.1093/rfs/hhg059.\n\n———. “Stock Return Predictability and Model Uncertainty.” Journal of Financial Economics 64, no. 3 (June 1, 2002): 423–58. https://doi.org/10.1016/S0304-405X(02)00131-9.\n\nBaks, Klaas P., Andrew Metrick, and Jessica Wachter. “Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation.” The Journal of Finance 56, no. 1 (2001): 45–85. https://doi.org/10.1111/0022-1082.00319.\n\nBarillas, Francisco, and Jay Shanken. “Comparing Asset Pricing Models.” The Journal of Finance 73, no. 2 (2018): 715–54. https://doi.org/10.1111/jofi.12607.\n\nBates, David S. “Maximum Likelihood Estimation of Latent Affine Processes.” The Review of Financial Studies 19, no. 3 (October 1, 2006): 909–65. https://doi.org/10.1093/rfs/hhj022.\n\nBollerslev, Tim, Benjamin Hood, John Huss, and Lasse Heje Pedersen. “Risk Everywhere: Modeling and Managing Volatility.” The Review of Financial Studies 31, no. 7 (July 1, 2018): 2729–73. https://doi.org/10.1093/rfs/hhy041.\n\nBrav, Alon. “Inference in Long-Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings.” The Journal of Finance 55, no. 5 (2000): 1979–2016. https://doi.org/10.1111/0022-1082.00279.\n\nBuehlmaier, Matthias M. M., and Toni M. Whited. “Are Financial Constraints Priced? Evidence from Textual Analysis.” The Review of Financial Studies 31, no. 7 (July 1, 2018): 2693–2728. https://doi.org/10.1093/rfs/hhy007.\n\nBulkley, George, and Paolo Giordani. “Structural Breaks, Parameter Uncertainty, and Term Structure Puzzles.” Journal of Financial Economics 102, no. 1 (October 1, 2011): 222–32. https://doi.org/10.1016/j.jfineco.2011.05.009.\n\nBusse, Jeffrey A., and Paul J. Irvine. “Bayesian Alphas and Mutual Fund Persistence.” The Journal of Finance 61, no. 5 (2006): 2251–88. https://doi.org/10.1111/j.1540-6261.2006.01057.x.\n\nCavagnaro, Daniel R., Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach. “Measuring Institutional Investors’ Skill at Making Private Equity Investments.” The Journal of Finance 74, no. 6 (2019): 3089–3134. https://doi.org/10.1111/jofi.12783.\n\nCremers, K. J. Martijn. “Stock Return Predictability: A Bayesian Model Selection Perspective.” The Review of Financial Studies 15, no. 4 (July 1, 2002): 1223–49. https://doi.org/10.1093/rfs/15.4.1223.\n\nDai, Qiang, Kenneth J. Singleton, and Wei Yang. “Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields.” The Review of Financial Studies 20, no. 5 (September 1, 2007): 1669–1706. https://doi.org/10.1093/rfs/hhm021.\n\nDangl, Thomas, and Michael Halling. “Predictive Regressions with Time-Varying Coefficients.” Journal of Financial Economics 106, no. 1 (October 1, 2012): 157–81. https://doi.org/10.1016/j.jfineco.2012.04.003.\n\nDurham, Garland B. “SV Mixture Models with Application to S&P 500 Index Returns.” Journal of Financial Economics 85, no. 3 (September 1, 2007): 822–56. https://doi.org/10.1016/j.jfineco.2006.06.005.\n\nEasley, David, Robert F. Engle, Maureen O’Hara, and Liuren Wu. “Time-Varying Arrival Rates of Informed and Uninformed Trades.” Journal of Financial Econometrics 6, no. 2 (March 1, 2008): 171–207. https://doi.org/10.1093/jjfinec/nbn003.\n\nEasley, David, Marcos Lopez de Prado, and Maureen O’Hara. “Discerning Information from Trade Data.” Journal of Financial Economics 120, no. 2 (May 1, 2016): 269–85. https://doi.org/10.1016/j.jfineco.2016.01.018.\n\nFrank, Murray Z., and Ali Sanati. “How Does the Stock Market Absorb Shocks?” Journal of Financial Economics 129, no. 1 (July 1, 2018): 136–53. https://doi.org/10.1016/j.jfineco.2018.04.002.\n\nFulop, Andras, Junye Li, and Jun Yu. “Self-Exciting Jumps, Learning, and Asset Pricing Implications.” The Review of Financial Studies 28, no. 3 (March 1, 2015): 876–912. https://doi.org/10.1093/rfs/hhu078.\n\nGallant, A. Ronald, Mohammad R Jahan-Parvar, and Hening Liu. “Does Smooth Ambiguity Matter for Asset Pricing?” The Review of Financial Studies 32, no. 9 (September 1, 2019): 3617–66. https://doi.org/10.1093/rfs/hhy118.\n\nGarlappi, Lorenzo, Raman Uppal, and Tan Wang. “Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.” The Review of Financial Studies 20, no. 1 (January 1, 2007): 41–81. https://doi.org/10.1093/rfs/hhl003.\n\nGeweke, John, and Guofu Zhou. “Measuring the Pricing Error of the Arbitrage Pricing Theory.” The Review of Financial Studies 9, no. 2 (April 1, 1996): 557–87. https://doi.org/10.1093/rfs/9.2.557.\n\nGray, Stephen F. “Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process.” Journal of Financial Economics 42, no. 1 (September 1, 1996): 27–62. https://doi.org/10.1016/0304-405X(96)00875-6.\n\nHan, Yufeng. “Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model.” The Review of Financial Studies 19, no. 1 (March 1, 2006): 237–71. https://doi.org/10.1093/rfs/hhj002.\n\nHarvey, Campbell R., and Yan Liu. “Cross-Sectional Alpha Dispersion and Performance Evaluation.” Journal of Financial Economics 134, no. 2 (November 1, 2019): 273–96. https://doi.org/10.1016/j.jfineco.2019.04.005.\n\n———. “Detecting Repeatable Performance.” The Review of Financial Studies 31, no. 7 (July 1, 2018): 2499–2552. https://doi.org/10.1093/rfs/hhy014.\n\nHarvey, Campbell R., Yan Liu, and Heqing Zhu. “… and the Cross-Section of Expected Returns.” The Review of Financial Studies 29, no. 1 (January 1, 2016): 5–68. https://doi.org/10.1093/rfs/hhv059.\n\nHarvey, Campbell R, and Guofu Zhou. “Bayesian Inference in Asset Pricing Tests.” Journal of Financial Economics 26, no. 2 (August 1, 1990): 221–54. https://doi.org/10.1016/0304-405X(90)90004-J.\n\nHenkel, Sam James, J. Spencer Martin, and Federico Nardari. “Time-Varying Short-Horizon Predictability.” Journal of Financial Economics 99, no. 3 (March 1, 2011): 560–80. https://doi.org/10.1016/j.jfineco.2010.09.008.\n\nJohannes, Michael, Lars A. Lochstoer, and Yiqun Mou. “Learning about Consumption Dynamics.” The Journal of Finance 71, no. 2 (2016): 551–600. https://doi.org/10.1111/jofi.12246.\n\nJohannes, Michael S., Nicholas G. Polson, and Jonathan R. Stroud. “Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices.” The Review of Financial Studies 22, no. 7 (July 1, 2009): 2759–99. https://doi.org/10.1093/rfs/hhn110.\n\nJones, Christopher S. “Nonlinear Mean Reversion in the Short-Term Interest Rate.” The Review of Financial Studies 16, no. 3 (July 1, 2003): 793–843. https://doi.org/10.1093/rfs/hhg014.\n\nJones, Christopher S., and Jay Shanken. “Mutual Fund Performance with Learning across Funds.” Journal of Financial Economics 78, no. 3 (December 1, 2005): 507–52. https://doi.org/10.1016/j.jfineco.2004.08.009.\n\nJulliard, Christian, and Anisha Ghosh. “Can Rare Events Explain the Equity Premium Puzzle?” The Review of Financial Studies 25, no. 10 (October 1, 2012): 3037–76. https://doi.org/10.1093/rfs/hhs078.\n\nKandel, Shmuel, and Robert F. Stambaugh. “On the Predictability of Stock Returns: An Asset-Allocation Perspective.” The Journal of Finance 51, no. 2 (1996): 385–424. https://doi.org/10.1111/j.1540-6261.1996.tb02689.x.\n\nKlein, Roger W., and Vijay S. Bawa. “The Effect of Estimation Risk on Optimal Portfolio Choice.” Journal of Financial Economics 3, no. 3 (June 1, 1976): 215–31. https://doi.org/10.1016/0304-405X(76)90004-0.\n\n———. “The Effect of Limited Information and Estimation Risk on Optimal Portfolio Diversification.” Journal of Financial Economics 5, no. 1 (August 1, 1977): 89–111. https://doi.org/10.1016/0304-405X(77)90031-9.\n\nLamoureux, Christopher G., and H. Douglas Witte. “Empirical Analysis of the Yield Curve: The Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross.” The Journal of Finance 57, no. 3 (2002): 1479–1520. https://doi.org/10.1111/1540-6261.00467.\n\nLamoureux, Christopher G., and Guofu Zhou. “Temporary Components of Stock Returns: What Do the Data Tell Us?” The Review of Financial Studies 9, no. 4 (October 1, 1996): 1033–59. https://doi.org/10.1093/rfs/9.4.1033.\n\nLi, Minqiang, Neil D. Pearson, and Allen M. Poteshman. “Conditional Estimation of Diffusion Processes.” Journal of Financial Economics 74, no. 1 (October 1, 2004): 31–66. https://doi.org/10.1016/j.jfineco.2004.03.001.\n\nMcCulloch, Robert, and Peter E. Rossi. “Posterior, Predictive, and Utility-Based Approaches to Testing the Arbitrage Pricing Theory.” Journal of Financial Economics 28, no. 1 (November 1, 1990): 7–38. https://doi.org/10.1016/0304-405X(90)90046-3.\n\nPástor, Ľuboš. “Portfolio Selection and Asset Pricing Models.” The Journal of Finance 55, no. 1 (2000): 179–223. https://doi.org/10.1111/0022-1082.00204.\n\nPástor, Ľuboš, and Robert F. Stambaugh. “Comparing Asset Pricing Models: An Investment Perspective.” Journal of Financial Economics 56, no. 3 (June 1, 2000): 335–81. https://doi.org/10.1016/S0304-405X(00)00044-1.\n\n———. “Costs of Equity Capital and Model Mispricing.” The Journal of Finance 54, no. 1 (1999): 67–121. https://doi.org/10.1111/0022-1082.00099.\n\n———. “Investing in Equity Mutual Funds.” Journal of Financial Economics 63, no. 3 (March 1, 2002): 351–80. https://doi.org/10.1016/S0304-405X(02)00065-X.\n\n———. “Mutual Fund Performance and Seemingly Unrelated Assets.” Journal of Financial Economics 63, no. 3 (March 1, 2002): 315–49. https://doi.org/10.1016/S0304-405X(02)00064-8.\n\nPettenuzzo, Davide, Allan Timmermann, and Rossen Valkanov. “Forecasting Stock Returns under Economic Constraints.” Journal of Financial Economics 114, no. 3 (December 1, 2014): 517–53. https://doi.org/10.1016/j.jfineco.2014.07.015.\n\nRouwenhorst, K. Geert. “Local Return Factors and Turnover in Emerging Stock Markets.” The Journal of Finance 54, no. 4 (1999): 1439–64. https://doi.org/10.1111/0022-1082.00151.\n\nShanken, Jay. “A Bayesian Approach to Testing Portfolio Efficiency.” Journal of Financial Economics 19, no. 2 (December 1, 1987): 195–215. https://doi.org/10.1016/0304-405X(87)90002-X.\n\nShanken, Jay, and Ane Tamayo. “Payout Yield, Risk, and Mispricing: A Bayesian Analysis.” Journal of Financial Economics 105, no. 1 (July 1, 2012): 131–52. https://doi.org/10.1016/j.jfineco.2011.12.002.\n\nStambaugh, Robert F. “Analyzing Investments Whose Histories Differ in Length.” Journal of Financial Economics 45, no. 3 (September 1, 1997): 285–331. https://doi.org/10.1016/S0304-405X(97)00020-2."
}