An Imputed Walk Down Wall Street (Kaoutar’s Thesis)

Under my supervision, Kaoutar Dian has written her master’s thesis: “An Imputed Walk Down Wall Street: Imputation Strategies and Portfolio Performance in Empirical Asset Pricing”.

The thesis compares recent methods for imputing missing firm characteristics and evaluates their effects on return forecasts and portfolio performance. A distinctive contribution is a double-sorting exercise that sorts stocks by both their level of missingness and their characteristic values, thereby providing a direct portfolio-based assessment of whether imputation preserves or distorts economically relevant information. The results show that greater imputation accuracy does not necessarily translate into better investment performance.

Click here to read the full thesis.

Nontraded Factor Zoo

I have worked with Cesare Robotti, Giulio Rossetti and Xinyi Zhang to gather a factor zoo of nontradables.

Click here for the Dec 2024 version. A more updated version is coming in the next few months.

When using it, do not forget to cite our paper (“Misspecification and Weak Identification in the Nontraded Factor Zoo”).