Really proud of this paper! It started almost 10 years ago, and the key results stayed identical no matter which method, bells, and whistles we tried. And here's a podcast on our paper:

Honored to discuss the captivating and polarizing "AI-Powered (Finance) Scholarship" by Novy-Marx+@VelikovMihail, at @TaniaBabina's AI conference yesterday! Thought I'd share my view here 🧵

Back in pink - and this time to stay 🩷 Seven years after losing the Maglia Rosa on Stage 19 of the 2018 Giro, Simon Yates pulled the jersey back on after storming to the top of the general classification on Stage 20 of the 2025 edition. 📸 Sprint Cycling ____ 🇮🇹 #GirodItalia

Simon Yates in Maglia Rosa, one day before Rome. He returned to finish the job he started in 2018. Incredible scenes! 🩷 #GirodItalia

A review of the growing field investigating how the broad organization of financial markets affects the level and dynamics of asset prices, from Valentin Haddad and @tylersmuir https://t.co/uwwoj126DI

💥Introducing openassetpricing!💥 a Python package for easy-breezy access to the Open Source Asset Pricing dataset. Just `pip install openassetpricing` and openap = oap.OpenAP() df = openap.dl_port('quintiles_vw', 'pandas', ['BM', 'Mom12m']) and you've got B/M and momentum.

The AI-generated podcast for our paper "A Multifactor Perspective on Volatility-Managed Portfolios" with @MartinUtrera and @RamanUppalProf is surprisingly good: https://t.co/KQ8gvJShxK

An academic paper has excellent empirical evidence & hypotheses that perfectly match the patterns in the data. One catch: AI wrote the hypotheses after seeing the results. Should this matter? New paper w/ Robert Novy-Marx on AI and finance research🧵 https://t.co/pe0JP4wMO1

"A Multifactor Perspective on Volatility‐Managed Portfolios" with @MartinUtrera & @RamanUppalProf: https://t.co/tNV8sos3jf Multifactor portfolio whose factor weights vary with market volatility and accounts for trading costs outperforms benchmark out-of-sample and net of costs.

Impressive how fast and efficient was the production process for our paper at @J_Fin_Economics. "Comparing factor models with price-impact costs" with @allen_lisicong and @MartinUtrera now in print:

Comparing Factor Models with Price-Impact Costs, with @allen_lisicong and @MartinUtrera, accepted (pending uploads) to @J_Fin_Economics. Grateful to editor @NickRoussanov and an outstanding referee who helped us greatly improve our empirical contribution: https://t.co/qlWaj91Dug

📢 New Paper Ideas! "A Multifactor Perspective on Volatility-Managed Portfolios" Conditioning on volatility from a portfolio perspective (multifactor portfolios) outperforms the well-known single-factor volatility-managed strategies. Keep reading!👇

"Stock Return Anomalies: The p-hacking Debate" with Avanidhar Subra, Amit Goyal, Jeff Pontiff, and myself is up on @finmgmtassoc's youtube: https://t.co/biI521UlSV. My audio isn't great, so here's a🧵

Also want shout out Li, @MartinUtrera, and @VictorDeMiguel2 for showing how t-costs make the implementable efficient frontier concave ( https://t.co/LH0Gu2J77x) and @TomZ_Econ et al. for direct estimation of portfolios weights with ML under t-costs ( https://t.co/exBmc4X3aw)

Discussed "Machine Learning and the Implementable Efficient Frontier" by Kelly, Jensen, Malamud, Pedersen at the AFA. My takeaways: 1) their closed-forms let you peek inside black-box ML portfolios and 2) anomalies are alive and well net of costs, you just need ML to find them

🚨New 📜: Assaying Anomalies (w/ Robert Novy-Marx)🚨 ❓ How do we evaluate new return predictors in the cross-section of equities (aka anomalies)? 👉 We propose a protocol for understanding and testing the robustness of new anomalies 👇🧵 to follow (1/12) https://t.co/y9bQxRheVN

For those interested: Tomorrow (7th June) from 8am UK time, the Brevan Howard Centre for Financial Analysis at Imperial College Business School (@ImperialBiz) organises the 14th Annual Hedge Fund Conference. [link: https://t.co/YRb23kdbS5] Program👇 #EconTwitter /1

My preferred policy solution to gun violence is to hold gun purchasers liable if the gun they purchase is ever used in a crime, then to require gun owners who can't otherwise demonstrate a capacity to pay to purchase insurance.

Join us this coming Thu for the FE seminar at Stevens. My co-author, Nathan Lassance, will be presenting our working paper on "The Risk of Out-Of-Sample Portfolio Performance". This is joint work with @MartinUtrera. The recent… https://t.co/asXgK6L2cV

Honored to be presenting our working paper next Tue Mathematical Finance & Financial Data Science Seminar. This is joint work with Nathan Lassance and @MartinUtrera. Thanks a lot, Petter Kolm for organizing this! Looking forward!!