Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning
Published Online:13 Dec 2021https://doi.org/10.1287/mnsc.2021.4189
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The replication files for this article are available HERE.
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Volume 68, Issue 10
October 2022
Pages 7065-7791, iii-iv
Article Information
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- Received:July 17, 2020
- Accepted:May 17, 2021
- Published Online:December 13, 2021
Copyright © 2021, INFORMS
Cite as
Chulwoo Han (2021) Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning. Management Science 68(10):7701-7741.
https://doi.org/10.1287/mnsc.2021.4189
Keywords
The author thanks Kay Giesecke (editor) and anonymous referees, whose comments and suggestions have significantly improved the paper. The author thanks Daniele Bianchi, Victor DeMiguel, and Hyeng Keun Koo as well as seminar participants at Ajou University, KAIST, Peking HSBC Business School, and Sungkyunkwan University for their helpful discussions and comments.
