A list of Bayesian finance papers I've noticed. These are mostly sourced from the financial economics literature, and primarily so from the top three journals (Journal of Finance, Review of Financial Studies, and the Journal of Financial Economics). I exclude theoretical papers because the Bayesian component is usually not the most interesting part. I favor empirical papers that use some kind of Bayesian method. Suggestions welcome!

Papers

Anderson, Evan W., and Ai-Ru (Meg) Cheng. “Robust Bayesian Portfolio Choices.” The Review of Financial Studies 29, no. 5 (May 1, 2016): 1330–75. https://doi.org/10.1093/rfs/hhw001.

Avramov, Doron. “Stock Return Predictability and Asset Pricing Models.” The Review of Financial Studies 17, no. 3 (July 1, 2004): 699–738. https://doi.org/10.1093/rfs/hhg059.

———. “Stock Return Predictability and Model Uncertainty.” Journal of Financial Economics 64, no. 3 (June 1, 2002): 423–58. https://doi.org/10.1016/S0304-405X(02)00131-9.

Baks, Klaas P., Andrew Metrick, and Jessica Wachter. “Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation.” The Journal of Finance 56, no. 1 (2001): 45–85. https://doi.org/10.1111/0022-1082.00319.

Barillas, Francisco, and Jay Shanken. “Comparing Asset Pricing Models.” The Journal of Finance 73, no. 2 (2018): 715–54. https://doi.org/10.1111/jofi.12607.

Bates, David S. “Maximum Likelihood Estimation of Latent Affine Processes.” The Review of Financial Studies 19, no. 3 (October 1, 2006): 909–65. https://doi.org/10.1093/rfs/hhj022.

Bollerslev, Tim, Benjamin Hood, John Huss, and Lasse Heje Pedersen. “Risk Everywhere: Modeling and Managing Volatility.” The Review of Financial Studies 31, no. 7 (July 1, 2018): 2729–73. https://doi.org/10.1093/rfs/hhy041.

Brav, Alon. “Inference in Long-Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings.” The Journal of Finance 55, no. 5 (2000): 1979–2016. https://doi.org/10.1111/0022-1082.00279.

Buehlmaier, Matthias M. M., and Toni M. Whited. “Are Financial Constraints Priced? Evidence from Textual Analysis.” The Review of Financial Studies 31, no. 7 (July 1, 2018): 2693–2728. https://doi.org/10.1093/rfs/hhy007.

Bulkley, George, and Paolo Giordani. “Structural Breaks, Parameter Uncertainty, and Term Structure Puzzles.” Journal of Financial Economics 102, no. 1 (October 1, 2011): 222–32. https://doi.org/10.1016/j.jfineco.2011.05.009.

Busse, Jeffrey A., and Paul J. Irvine. “Bayesian Alphas and Mutual Fund Persistence.” The Journal of Finance 61, no. 5 (2006): 2251–88. https://doi.org/10.1111/j.1540-6261.2006.01057.x.

Cavagnaro, Daniel R., Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach. “Measuring Institutional Investors’ Skill at Making Private Equity Investments.” The Journal of Finance 74, no. 6 (2019): 3089–3134. https://doi.org/10.1111/jofi.12783.

Cremers, K. J. Martijn. “Stock Return Predictability: A Bayesian Model Selection Perspective.” The Review of Financial Studies 15, no. 4 (July 1, 2002): 1223–49. https://doi.org/10.1093/rfs/15.4.1223.

Dai, Qiang, Kenneth J. Singleton, and Wei Yang. “Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields.” The Review of Financial Studies 20, no. 5 (September 1, 2007): 1669–1706. https://doi.org/10.1093/rfs/hhm021.

Dangl, Thomas, and Michael Halling. “Predictive Regressions with Time-Varying Coefficients.” Journal of Financial Economics 106, no. 1 (October 1, 2012): 157–81. https://doi.org/10.1016/j.jfineco.2012.04.003.

Durham, Garland B. “SV Mixture Models with Application to S&P 500 Index Returns.” Journal of Financial Economics 85, no. 3 (September 1, 2007): 822–56. https://doi.org/10.1016/j.jfineco.2006.06.005.

Easley, David, Robert F. Engle, Maureen O’Hara, and Liuren Wu. “Time-Varying Arrival Rates of Informed and Uninformed Trades.” Journal of Financial Econometrics 6, no. 2 (March 1, 2008): 171–207. https://doi.org/10.1093/jjfinec/nbn003.

Easley, David, Marcos Lopez de Prado, and Maureen O’Hara. “Discerning Information from Trade Data.” Journal of Financial Economics 120, no. 2 (May 1, 2016): 269–85. https://doi.org/10.1016/j.jfineco.2016.01.018.

Frank, Murray Z., and Ali Sanati. “How Does the Stock Market Absorb Shocks?” Journal of Financial Economics 129, no. 1 (July 1, 2018): 136–53. https://doi.org/10.1016/j.jfineco.2018.04.002.

Fulop, Andras, Junye Li, and Jun Yu. “Self-Exciting Jumps, Learning, and Asset Pricing Implications.” The Review of Financial Studies 28, no. 3 (March 1, 2015): 876–912. https://doi.org/10.1093/rfs/hhu078.

Gallant, A. Ronald, Mohammad R Jahan-Parvar, and Hening Liu. “Does Smooth Ambiguity Matter for Asset Pricing?” The Review of Financial Studies 32, no. 9 (September 1, 2019): 3617–66. https://doi.org/10.1093/rfs/hhy118.

Garlappi, Lorenzo, Raman Uppal, and Tan Wang. “Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.” The Review of Financial Studies 20, no. 1 (January 1, 2007): 41–81. https://doi.org/10.1093/rfs/hhl003.

Geweke, John, and Guofu Zhou. “Measuring the Pricing Error of the Arbitrage Pricing Theory.” The Review of Financial Studies 9, no. 2 (April 1, 1996): 557–87. https://doi.org/10.1093/rfs/9.2.557.

Gray, Stephen F. “Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process.” Journal of Financial Economics 42, no. 1 (September 1, 1996): 27–62. https://doi.org/10.1016/0304-405X(96)00875-6.

Han, Yufeng. “Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model.” The Review of Financial Studies 19, no. 1 (March 1, 2006): 237–71. https://doi.org/10.1093/rfs/hhj002.

Harvey, Campbell R., and Yan Liu. “Cross-Sectional Alpha Dispersion and Performance Evaluation.” Journal of Financial Economics 134, no. 2 (November 1, 2019): 273–96. https://doi.org/10.1016/j.jfineco.2019.04.005.

———. “Detecting Repeatable Performance.” The Review of Financial Studies 31, no. 7 (July 1, 2018): 2499–2552. https://doi.org/10.1093/rfs/hhy014.

Harvey, Campbell R., Yan Liu, and Heqing Zhu. “… and the Cross-Section of Expected Returns.” The Review of Financial Studies 29, no. 1 (January 1, 2016): 5–68. https://doi.org/10.1093/rfs/hhv059.

Harvey, Campbell R, and Guofu Zhou. “Bayesian Inference in Asset Pricing Tests.” Journal of Financial Economics 26, no. 2 (August 1, 1990): 221–54. https://doi.org/10.1016/0304-405X(90)90004-J.

Henkel, Sam James, J. Spencer Martin, and Federico Nardari. “Time-Varying Short-Horizon Predictability.” Journal of Financial Economics 99, no. 3 (March 1, 2011): 560–80. https://doi.org/10.1016/j.jfineco.2010.09.008.

Johannes, Michael, Lars A. Lochstoer, and Yiqun Mou. “Learning about Consumption Dynamics.” The Journal of Finance 71, no. 2 (2016): 551–600. https://doi.org/10.1111/jofi.12246.

Johannes, Michael S., Nicholas G. Polson, and Jonathan R. Stroud. “Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices.” The Review of Financial Studies 22, no. 7 (July 1, 2009): 2759–99. https://doi.org/10.1093/rfs/hhn110.

Jones, Christopher S. “Nonlinear Mean Reversion in the Short-Term Interest Rate.” The Review of Financial Studies 16, no. 3 (July 1, 2003): 793–843. https://doi.org/10.1093/rfs/hhg014.

Jones, Christopher S., and Jay Shanken. “Mutual Fund Performance with Learning across Funds.” Journal of Financial Economics 78, no. 3 (December 1, 2005): 507–52. https://doi.org/10.1016/j.jfineco.2004.08.009.

Julliard, Christian, and Anisha Ghosh. “Can Rare Events Explain the Equity Premium Puzzle?” The Review of Financial Studies 25, no. 10 (October 1, 2012): 3037–76. https://doi.org/10.1093/rfs/hhs078.

Kandel, Shmuel, and Robert F. Stambaugh. “On the Predictability of Stock Returns: An Asset-Allocation Perspective.” The Journal of Finance 51, no. 2 (1996): 385–424. https://doi.org/10.1111/j.1540-6261.1996.tb02689.x.

Klein, Roger W., and Vijay S. Bawa. “The Effect of Estimation Risk on Optimal Portfolio Choice.” Journal of Financial Economics 3, no. 3 (June 1, 1976): 215–31. https://doi.org/10.1016/0304-405X(76)90004-0.

———. “The Effect of Limited Information and Estimation Risk on Optimal Portfolio Diversification.” Journal of Financial Economics 5, no. 1 (August 1, 1977): 89–111. https://doi.org/10.1016/0304-405X(77)90031-9.

Lamoureux, Christopher G., and H. Douglas Witte. “Empirical Analysis of the Yield Curve: The Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross.” The Journal of Finance 57, no. 3 (2002): 1479–1520. https://doi.org/10.1111/1540-6261.00467.

Lamoureux, Christopher G., and Guofu Zhou. “Temporary Components of Stock Returns: What Do the Data Tell Us?” The Review of Financial Studies 9, no. 4 (October 1, 1996): 1033–59. https://doi.org/10.1093/rfs/9.4.1033.

Li, Minqiang, Neil D. Pearson, and Allen M. Poteshman. “Conditional Estimation of Diffusion Processes.” Journal of Financial Economics 74, no. 1 (October 1, 2004): 31–66. https://doi.org/10.1016/j.jfineco.2004.03.001.

McCulloch, Robert, and Peter E. Rossi. “Posterior, Predictive, and Utility-Based Approaches to Testing the Arbitrage Pricing Theory.” Journal of Financial Economics 28, no. 1 (November 1, 1990): 7–38. https://doi.org/10.1016/0304-405X(90)90046-3.

Pástor, Ľuboš. “Portfolio Selection and Asset Pricing Models.” The Journal of Finance 55, no. 1 (2000): 179–223. https://doi.org/10.1111/0022-1082.00204.

Pástor, Ľuboš, and Robert F. Stambaugh. “Comparing Asset Pricing Models: An Investment Perspective.” Journal of Financial Economics 56, no. 3 (June 1, 2000): 335–81. https://doi.org/10.1016/S0304-405X(00)00044-1.

———. “Costs of Equity Capital and Model Mispricing.” The Journal of Finance 54, no. 1 (1999): 67–121. https://doi.org/10.1111/0022-1082.00099.

———. “Investing in Equity Mutual Funds.” Journal of Financial Economics 63, no. 3 (March 1, 2002): 351–80. https://doi.org/10.1016/S0304-405X(02)00065-X.

———. “Mutual Fund Performance and Seemingly Unrelated Assets.” Journal of Financial Economics 63, no. 3 (March 1, 2002): 315–49. https://doi.org/10.1016/S0304-405X(02)00064-8.

Pettenuzzo, Davide, Allan Timmermann, and Rossen Valkanov. “Forecasting Stock Returns under Economic Constraints.” Journal of Financial Economics 114, no. 3 (December 1, 2014): 517–53. https://doi.org/10.1016/j.jfineco.2014.07.015.

Rouwenhorst, K. Geert. “Local Return Factors and Turnover in Emerging Stock Markets.” The Journal of Finance 54, no. 4 (1999): 1439–64. https://doi.org/10.1111/0022-1082.00151.

Shanken, Jay. “A Bayesian Approach to Testing Portfolio Efficiency.” Journal of Financial Economics 19, no. 2 (December 1, 1987): 195–215. https://doi.org/10.1016/0304-405X(87)90002-X.

Shanken, Jay, and Ane Tamayo. “Payout Yield, Risk, and Mispricing: A Bayesian Analysis.” Journal of Financial Economics 105, no. 1 (July 1, 2012): 131–52. https://doi.org/10.1016/j.jfineco.2011.12.002.

Stambaugh, Robert F. “Analyzing Investments Whose Histories Differ in Length.” Journal of Financial Economics 45, no. 3 (September 1, 1997): 285–331. https://doi.org/10.1016/S0304-405X(97)00020-2.

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