Research
Below, you’ll find details my research work. For questions on any specific publication, feel free to send me an email.
Published Research
Forecasting equity returns with oil prices: addressing model choice uncertainty (with Udayan Sharma), Applied Economics
Inflation hedging via tracking portfolios in the BRICS markets (with Vedprakash Meshram), Cogent Economics and Finance
Climate risks, corporate bonds, and economic uncertainty (Sole-Author), Economics Letters
The Value Relevance of Earnings for Factor Investors (with Madhumita Chakraborty), IUP Journal of Accounting Research & Audit Practices
Incorporating green assets in equity portfolios (Sole-Author), Finance Research Letters, 2023
The cross-section of Indian stock returns: evidence using machine learning (with Vedprakash Meshram), Applied Economics, 2022. Link
ARE FACTOR INVESTING STRATEGIES SUCCESSFUL OUT-OF-SAMPLE: EVIDENCE FROM THE NIFTY INDICES (Sole-Author), Applied Finance Letters, 2022. Link
Predicting Intraday cryptocurrency returns–A Sparse Signals approach (with Vedprakash Meshram), Journal of Prediction Markets, 2021. Link
Multi-factor asset pricing models in emerging and developed markets (with Madhumita Chakraborty), Managerial Finance, 2020. Link
Aggregate earnings and gross domestic product: International evidence (with Madhumita Chakraborty), Applied Economics, 2020. Link
Investor reaction to extreme price shocks in stock markets: A cross country examination (with Madhumita Chakraborty and Udayan Sharma), IIMB Management Review, 2019. Link
Asset pricing factors and future economic growth (with Madhumita Chakraborty), Economics Letters, 2018. Link
Quality investing in the Indian stock market (with Madhumita Chakraborty), Managerial Finance, 2018. Link
Work-In-Progress
A comprehensive overview of asset pricing anomalies in India
Is a mean-variance optimal factor priced in the cross-section of stock return?
Non-standard errors in machine learning portfolios.
Measuring climate risk sensitivity for an asset.
Hedging climate risks: A comparison of models.
Influencer Recommendations and asset prices.
Some of my working papers are available at Author Page for Vaibhav Lalwani :: SSRN