Welcome to my blog!
Here I write, through my own research, the things that I find interesting!
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The economist’s craft by Michael Weisbach
I just finished reading this great book “The economist’s craft by Michael Weisbach”. Full of wise advises, honestly enjoyed reading it. I think it’s a must-read for every PhD student in Finance 🙂
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What does “Neighbouring Assets” teach us? – 01
One may wonder what derives the high performance of the “neighbouring assets” strategy. In this paper, I show that if we classify assets into 10 portfolios based on the past performance of their neighbours and create hedge portfolios, the long-short portfolio easily generates strong and significant alphas, both statistically and economically. Now, the question here…
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About the stability of relationship between firm characteristics and expected returns
One paper that I really like and enjoy reading is the paper by Cheng, Pelger and Zhu (2021), “Deep Learning in Asset Pricing“. In addition to the smart idea behind the paper and the excellent writing, one thing that I found interesting (maybe even a minor thing in the paper), is that they train their…
Sina Seyfi 