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How to best deal with missing firm characteristics? We employ a large-scale #MachineLearning model motivated by insights from #NLP to recover missing entries, which we provide on my homepage. Download the paper at papers.ssrn.com/sol3/papers.cf…

Heiner Beckmeyer, Ph.D. candidate @WWU_Muenster, is the winner of the award for Best Paper in Asset Pricing by LTI@UniTO. Beckmeyer will present his work and receive the prize today at CCA, during the 5th Asset Pricing Conference: bit.ly/3VhRlts #CCA #assetpricing

Our paper "Option Return Predictability with Machine Learning and Big Data" (Turan G. Bali, Heiner Beckmeyer, Mathis Mörke, Florian Weigert) has been accepted for publication by the Review of Financial Studies (Society for Financial Studies). Have a look at it here: papers.ssrn.com/sol3/papers.cf…

#RFS #Forthcoming: Option Return Predictability with Machine Learning and Big Data Turan G Bali Georgetown University Heiner Beckmeyer Heiner Beckmeyer Mathis Mörke Mathis Mörke Florian Weigert Florian Weigert doi.org/10.1093/rfs/hh…

Research from University of Muenster in Germany shows day-trading crowd may have lost avg $358k a day since May 2022 … zero-days to expiration (0DTE) options frenzy has put some smaller/speculative investors in tough (deeply negative) spot ⁦Bloomberg⁩

Motivated by structural #creditrisk models, this study proposes a parsimonious reduced-form joint factor model for bonds, options, and #stocks. Read More: spkl.io/60104UlgK Subscribe for Free: spkl.io/60114Ulgz Heiner Beckmeyer Wharton Research Data Services (WRDS) #EconTwitter