Doron Avramov, Xin He
arXiv 24 Feb 2026 · Finance — Computational
arXiv:2602.20856 · PDF · DOI · OpenAlex · Extracted main text
This paper develops a unified framework that links firm-level predictive signals, cross-asset spillovers, and the stochastic discount factor (SDF). Signals and spillovers are jointly estimated by maximizing the Sharpe ratio, yielding an interpretable SDF that both ranks characteristic relevance and uncovers the direction of predictive influence across assets. Out-of-sample, the SDF consistently outperforms self-predictive and expected-return benchmarks across investment universes and market states. The inferred information network highlights large, low-turnover firms as net transmitters. The framework offers a clear, economically grounded view of the informational architecture underlying cross-sectional return dynamics.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Jensen, Theis Ingerslev and Kelly, Bryan and Pedersen, Lasse Heje (2023) Is there a replication crisis in finance? | 0.941 | 6 | 4 | 83% |
| 2 | Kelly, Bryan and Malamud, Semyon and Pedersen, Lasse Heje (2023) Principal portfolios | 0.928 | 4 | 3 | 100% |
| 3 | Fama, Eugene F and French, Kenneth R (2015) A five-factor asset pricing model | 0.874 | 5 | 2 | 100% |
| 4 | Didisheim, Antoine and Ke, Shikun Barry and Kelly, Bryan T and Malam… (2024) APT or “AIPT”? The Surprising Dominance of Large Factor Models | 0.843 | 3 | 3 | 100% |
| 5 | Lo, Andrew W and MacKinlay, A Craig (1990) When are contrarian profits due to stock market overreaction? | 0.811 | 4 | 2 | 100% |
| 6 | Stambaugh, Robert F and Yuan, Yu (2017) Mispricing factors | 0.811 | 4 | 2 | 100% |
| 7 | Britten-Jones, Mark (1999) The sampling error in estimates of mean-variance efficient portfolio weights | 0.737 | 3 | 3 | 67% |
| 8 | Daniel, Kent and Hirshleifer, David and Sun, Lin (2020) Short- and long-horizon behavioral factors | 0.737 | 3 | 2 | 100% |
| 9 | Diebold, Francis X and Yilmaz, Kamil (2014) On the network topology of variance decompositions: Measuring the connectedness of financial firms | 0.737 | 3 | 2 | 100% |
| 10 | Hou, Kewei and Xue, Chen and Zhang, Lu (2015) Digesting anomalies: An investment approach | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 59 scored citations.