https://www.ml-quant.com/topics/asset-pricing-factors/Factor models, anomalies, the cross-section of returns and what survives publication. en https://www.ml-quant.com/papers/arxiv/2610.06947/https://www.ml-quant.com/papers/arxiv/2610.06947/Fri, 09 Oct 2026 07:00:00 +0000A portfolio-aware benchmark comparing five thousand factors from nine automated mining methods across five equity markets finds that no discovery paradigm consistently dominates in signal quality or portfolio performance. https://www.ml-quant.com/papers/arxiv/2610.04959/https://www.ml-quant.com/papers/arxiv/2610.04959/Fri, 09 Oct 2026 07:00:00 +0000Introduces a hierarchical discrete diffusion framework that generates pools of formulaic alphas by reconstructing complete candidate pools under current context and maximizing joint predictive performance and inner diversity. https://www.ml-quant.com/papers/arxiv/2610.07701/https://www.ml-quant.com/papers/arxiv/2610.07701/Fri, 09 Oct 2026 07:00:00 +0000An injected-truth protocol reveals that statistical admission gates eliminate false discoveries in weak-signal regimes but cut adoption rates to 1–7 percent, while criteria computed on absolute rather than excess returns reject all candidates. https://www.ml-quant.com/papers/arxiv/2610.04094/https://www.ml-quant.com/papers/arxiv/2610.04094/Fri, 09 Oct 2026 07:00:00 +0000Decomposing earnings press releases and conference calls into shared and unique textual components shows that unique call content predicts returns better than repeated material. https://www.ml-quant.com/papers/ssrn/7560218/https://www.ml-quant.com/papers/ssrn/7560218/Fri, 09 Oct 2026 07:00:00 +0000The study decomposes Federal Reserve announcements into three orthogonal shocks and traces each through the equity cross-section, finding rate-path surprises dominate while standard balance-sheet characteristics carry no additional power beyond beta and size. https://www.ml-quant.com/papers/ssrn/7570178/https://www.ml-quant.com/papers/ssrn/7570178/Fri, 09 Oct 2026 07:00:00 +0000A two-country model attributes 251 basis points of U.S. equity premium gains and 71 basis points of global rate decline since 1980 to demographic aging. https://www.ml-quant.com/papers/ssrn/7566162/https://www.ml-quant.com/papers/ssrn/7566162/Fri, 09 Oct 2026 07:00:00 +0000Constructs a characteristics-based systematic risk measure using rate jumps that predicts out-of-sample corporate bond returns, with high-minus-low decile portfolio earning 9.12% annually and 7.80% alpha. https://www.ml-quant.com/papers/ssrn/7571098/https://www.ml-quant.com/papers/ssrn/7571098/Fri, 09 Oct 2026 07:00:00 +0000The study shows that high-conviction beliefs exert outsized influence on prices, with a long-short portfolio exploiting conviction-weighted disagreement earning 13.2 percent annualized six-factor alpha. https://www.ml-quant.com/papers/ssrn/7577948/https://www.ml-quant.com/papers/ssrn/7577948/Fri, 09 Oct 2026 07:00:00 +0000The study measures AI exposure across 284 U.S. firms and finds that an AI-factor explains only 18% variance alongside conventional factors, suggesting AI is a distinct cross-industry risk lens separate from traditional spillovers. https://www.ml-quant.com/papers/repec/fip-fedfwp-103796/https://www.ml-quant.com/papers/repec/fip-fedfwp-103796/Fri, 09 Oct 2026 07:00:00 +0000The research shows Fed policy affects risk asset prices primarily through risk appetite shifts, not interest rates; transmission via risk appetite dwarfs rate-channel effects. https://www.ml-quant.com/papers/repec/nbr-nberwo-35572/https://www.ml-quant.com/papers/repec/nbr-nberwo-35572/Fri, 09 Oct 2026 07:00:00 +0000The paper proves that asset pricing models solving equity and risk-free rate puzzles fail to generate observed interest-rate differentials between risky and safe currencies. https://www.ml-quant.com/papers/repec/fip-fednsr-103730/https://www.ml-quant.com/papers/repec/fip-fednsr-103730/Fri, 09 Oct 2026 07:00:00 +0000Inferring expected returns from stock prices and cash flows reveals an upward-sloping equity term structure, but value and speculative-grade firms show flat or downward slopes. https://www.ml-quant.com/papers/repec/nbr-nberwo-35652/https://www.ml-quant.com/papers/repec/nbr-nberwo-35652/Fri, 09 Oct 2026 07:00:00 +0000A quantified general-equilibrium model of 23,000 firms across 48 countries shows financial and trade liberalization concentrate activity in largest firms with larger gains for emerging economies. https://www.ml-quant.com/papers/ssrn/7527218/https://www.ml-quant.com/papers/ssrn/7527218/Fri, 02 Oct 2026 07:00:00 +0000Signals extracted from corporate bond portfolios predict next-month equity returns of same issuers at 21 basis points higher after controlling for stock characteristics. https://www.ml-quant.com/papers/ssrn/7545235/https://www.ml-quant.com/papers/ssrn/7545235/Fri, 02 Oct 2026 07:00:00 +0000The study exploits Ant Group's suspended IPO in November 2020 as a natural experiment, finding that highly exposed firms suffered roughly 21 percentage point abnormal returns and experienced a 42% contraction in shadow-loan balances. https://www.ml-quant.com/papers/ssrn/7546579/https://www.ml-quant.com/papers/ssrn/7546579/Fri, 02 Oct 2026 07:00:00 +0000A lognormal model shows that individual stocks carry an idiosyncratic variance penalty making most underperform the index, with about one-third beating the market over five years. https://www.ml-quant.com/papers/ssrn/7528419/https://www.ml-quant.com/papers/ssrn/7528419/Fri, 02 Oct 2026 07:00:00 +0000A reproducible pipeline for factor research finds no model reliably beats simple approaches after accounting for transaction costs in point-in-time factor tests. https://www.ml-quant.com/papers/ssrn/7536681/https://www.ml-quant.com/papers/ssrn/7536681/Fri, 02 Oct 2026 07:00:00 +0000Filing discipline characteristics built from SEC timestamp data alone predict cross-sectional stock returns with a net Sharpe ratio of 1.27, concentrated in smaller and more volatile stocks. https://www.ml-quant.com/papers/repec/bdi-opques-qef-1057-26/https://www.ml-quant.com/papers/repec/bdi-opques-qef-1057-26/Fri, 02 Oct 2026 07:00:00 +0000Using ChatGPT's launch as a natural experiment, the paper finds that hyperscalers saw borrowing costs decline while software firms faced worse terms as debt markets repriced AI winners and losers. https://www.ml-quant.com/papers/repec/bde-wpaper-2628e/https://www.ml-quant.com/papers/repec/bde-wpaper-2628e/Fri, 02 Oct 2026 07:00:00 +0000The research shows that firms' hurdle rates exceed their financial cost of capital due to innovation risk and imperfect pledgeability, explaining weak productivity growth and declining business dynamism. https://www.ml-quant.com/papers/arxiv/2609.26212/https://www.ml-quant.com/papers/arxiv/2609.26212/Fri, 25 Sep 2026 07:00:00 +0000Meta-analysis of 1,613 size-premium estimates across 31 countries finds that stronger rule of law is associated with larger size premia, contrary to intuition. https://www.ml-quant.com/papers/ssrn/7477998/https://www.ml-quant.com/papers/ssrn/7477998/Fri, 25 Sep 2026 07:00:00 +0000European defence stocks repriced sharply starting November 2021, two to three months before Russia's invasion, delivering 26% alpha and reflecting release of ESG-exclusion constraints. https://www.ml-quant.com/papers/ssrn/7512099/https://www.ml-quant.com/papers/ssrn/7512099/Fri, 25 Sep 2026 07:00:00 +0000Factor momentum strategies earn 49 basis points per month extra return following quarters of rapid margin-debt growth, a predictability that persists after publication and reflects limits to arbitrage correction. https://www.ml-quant.com/papers/ssrn/7518623/https://www.ml-quant.com/papers/ssrn/7518623/Fri, 25 Sep 2026 07:00:00 +0000Momentum profits concentrate among firms with high price delay, a measure of information friction, directly supporting theories that gradual information incorporation drives momentum. https://www.ml-quant.com/papers/ssrn/7512572/https://www.ml-quant.com/papers/ssrn/7512572/Fri, 25 Sep 2026 07:00:00 +0000Comparing firms across the ECB's 2014 negative rate adoption shows treated European firms had higher valuations but reduced leverage, suggesting cash-flow and discount-rate channels dominate tax-shield effects. https://www.ml-quant.com/papers/repec/cpr-ceprdp-20587/https://www.ml-quant.com/papers/repec/cpr-ceprdp-20587/Fri, 25 Sep 2026 07:00:00 +0000Using model-free skewness measures from currency options, the study shows that skewness risk is priced in currency returns and explains variation across a broad cross-section of currency portfolios. https://www.ml-quant.com/papers/repec/cpr-ceprdp-20082/https://www.ml-quant.com/papers/repec/cpr-ceprdp-20082/Fri, 25 Sep 2026 07:00:00 +0000The paper shows that portfolio holdings contain all information needed for asset pricing and develops asset embeddings analogous to word embeddings to represent firms and predict valuations. https://www.ml-quant.com/papers/repec/fip-fedgif-103716/https://www.ml-quant.com/papers/repec/fip-fedgif-103716/Fri, 25 Sep 2026 07:00:00 +0000A two-country model shows that uncertainty shocks tighten intermediary constraints, widening credit spreads, appreciating the dollar, and raising currency risk premia globally. https://www.ml-quant.com/papers/repec/cpr-ceprdp-20745/https://www.ml-quant.com/papers/repec/cpr-ceprdp-20745/Fri, 25 Sep 2026 07:00:00 +0000Focusing on dollar-lira trading, the paper shows that higher crash risk significantly increases carry trade expected returns, accounting for 46–77% of compensation through Shapley decomposition. https://www.ml-quant.com/papers/repec/nbr-nberwo-35636/https://www.ml-quant.com/papers/repec/nbr-nberwo-35636/Fri, 25 Sep 2026 07:00:00 +0000Stock returns are dampened by rate insurance: falling rates cushion payoff risk in bad times while rising rates in good times hedge duration exposure.