Technische Universität Berlin
Martin Walther is a postdoc at Technische Universität Berlin, chair of Finance and Investment. He studied industrial engineering and obtained his PhD at Technische Universität Berlin. His research interests include asset pricing, behavioral finance, financial innovation (e.g., crowdfunding), machine learning applications in finance and stock price co-movement.
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures
The authors examine 10-K and 10-Q filings for risk factor disclosures and investigate if these disclosures can be used to improve estimations of the covariance matrix of stock returns.