Estimating The Anomaly Base Rate
NBER Working Paper No. 26493
---- Acknowledgments ----
We would like to thank Justin Birru, Svetlana Bryzgalova, Zhi Da, Xavier Gabaix, Niels Gormsen, Sam Hartzmark, Christian Julliard, Ralph Koijen, Bob Korajczyk, Yan Liu, Stefan Nagel, Walt Pohl, Jeff Pontiff, Tarun Ramadorai, Alessio Saretto, Andrea Tamoni, Julian Thimme, Allan Timmermann, Rüdiger Weber, and Dacheng Xiu for extremely helpful comments and suggestions. This paper has also benefited greatly from presentations at the University of Chicago, the University of Illinois, the MFA meetings, AQR Asset-Management Institute’s Academic Symposium, the Future of Financial Information Conference, the 5th BI-SHoF Conference, the NBER Summer Institute, the SITE Asset-Pricing Theory and Computation Meetings, the EFA Meetings, the NFA Conference, and the SAFE Asset-Pricing Workshop. Bianca He provided excellent research assistance. Weber also gratefully acknowledges financial support from the University of Chicago, the Fama Research Fund, and the Fama-Miller Center. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.