Sparse Signals in the Cross-Section of Returns
NBER Working Paper No. 23933
---- Acknowledgments ----
We have received many helpful comments and suggestions from John Campbell, Victor DeMiguel, Xavier Gabaix, Andrew Karolyi, Bryan Kelly, Maureen O’Hara, Vassilis Papavassiliou, Ioanid Rosu, Thomas Ruchti, Gideon Saar, Allan Timmermann, Heather Tookes, Sunil Wahal, and Brian Weller as well as from seminar participants at the University of Illinois Urbana-Champaign, the 11th Annual Central Bank Conference on the Microstructure of Financial Markets, the 2016 AFA Annual Meetings, and the NBER EFFE SI. Hao Xu, Ruixuan Zhou, and Rukai Lou provided excellent research assistance. This research is supported by National Science Foundation grant #1352936, which is joint with the Office of Financial Research at the U.S. Department of the Treasury. This work also uses the Extreme Science and Engineering Discovery Environment (XSEDE), which is supported by National Science Foundation grant #OCI-1053575. We thank David O’Neal of the Pittsburgh Supercomputer Center for his assistance with supercomputing, which was made possible through the XSEDE Extended Collaborative Support Service (ECSS) program. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.