Search Results

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models,
Nikolay Gospodinov, Raymond Kan and Cesare Robotti, from Federal Reserve Bank of Atlanta (2015)
Keywords: asset pricing; model misspecification; continuously updated GMM; maximum likelihood; asymptotic approximation; misspecification-robust tests

A conditional asset-pricing model with the optimal orthogonal portfolio,
Hossein Asgharian, in Journal of Banking & Finance (2011)
Keywords: Optimal orthogonal portfolio Factor pricing Time-varying risk premium

Housing Risk and Return: Evidence From a Housing Asset-Pricing Model,
Karl Case, John Cotter and Stuart Gabriel, from Geary Institute, University College Dublin (2010)
Keywords: asset pricing, house price returns, risk factors

International characteristic-based asset pricing,
Murali Jagannathan, Wei Jiao and Russell Wermers, from University of Cologne, Centre for Financial Research (CFR) (2020)
Keywords: International asset pricing, Characteristic-based asset-pricing models, International mutual funds

The relative asset pricing model: implications for asset allocation, rebalancing and asset pricing,
Arun Muralidhar, Kazuhiko Ohashi and Sunghwan Shin, in Journal of Financial Perspectives (2015)
Keywords: Capital Asset Pricing Model; asset pricing

When do investors go green? Evidence from a time-varying asset-pricing model,
Lucia Alessi, Elisa Ossola and Roberto Panzica, in International Review of Financial Analysis (2023)
Keywords: Climate risk; Environmental disclosure; Conditional factor models; Asset pricing;

When do investors go green? Evidence from a time-varying asset-pricing model,
Lucia Alessi, Elisa Ossola and Roberto Panzica, from Joint Research Centre, European Commission (2021)
Keywords: climate risk, environmental disclosure, conditional factor models, asset pricing

Testing Over- and Underidentification in Linear Models, with Applications to Dynamic Panel Data and Asset-Pricing Models,
Frank Windmeijer, from School of Economics, University of Bristol, UK (2018)
Keywords: Overidentification, Underidentification, Rank tests, Dynamic Panel Data Models, Asset Pricing Models.

Additional factor in asset-pricing: Institutional ownership,
Ecenur Uğurlu-Yıldırım and İlkay Şendeniz-Yüncü, in Finance Research Letters (2021)
Keywords: Asset-pricing; Institutional ownership; Stock market;

Econometric evaluation of asset pricing models,
Wayne Ferson and Ravi Jagannathan, from Federal Reserve Bank of Minneapolis (1996)
Keywords: capital asset pricing model

Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences,
Walt Pohl, Karl Schmedders and Ole Wilms, from Swiss Finance Institute (2015)
Keywords: Asset pricing, discretization, log-linearization, nonlinear dynamics, projection methods

A decision-theoretic model of asset-price underreaction and overreaction to dividend news,
Alexander Ludwig and Alexander Zimper, from University of Pretoria, Department of Economics (2012)
Keywords: Choquet Expected Utility Theory, Portfolio Choice, Asset Pricing Puzzles

Other Assets' Risk: Asset-Prices and Perceptions of Asset-Risk,
Theodoros Diasakos, from Collegio Carlo Alberto (2011)
Keywords: General Equilibrium Asset-Pricing; Lucas Trees; Contagion

Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests,
Amit Goyal, Zhongzhi Lawrence He and Sahn-Wook Huh, from Swiss Finance Institute (2018)
Keywords: Asset-Pricing Tests, Power Problem, Extreme-Error Problem, Distance-Based Metrics, Optimal Transport Theory, Bayesian Interpretations, Model Comparisons and Rankings

A decision-theoretic model of asset-price underreaction and overreaction to dividend news,
Alexander Ludwig and Alexander Zimper, in Annals of Finance (2013)
Keywords: Choquet expected utility theory, Portfolio choice, Asset pricing puzzles, Overreaction, Underreaction, C62, D81, G11, G12,

Asset Pricing in the Australian Industrial Equity Market: Reply,
Ray Ball, Philip Brown and R. R. Officer, in Australian Journal of Management (1977)
Keywords: ANOMALY; ASSET-PRICING; MEAN-VARIANCE MODEL; PARADIGM; SCIENTIFIC METHOD; STOCK MARKET PRICES

Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals,
Lorenzo Giorgianni and Leonardo Bartolini, from International Monetary Fund (1999)
Keywords: WP;U.S. dollar;null hypothesis;random walk; dollar rate; exchange rate volatility; market rate; asset market view; benchmark rate; exchange rate expectation; market efficiency; Exchange rates; Exchange rate modelling; Currencies; Income inequality; Currency markets

Solving an empirical puzzle in the capital asset pricing model,
Jalal Akhavein, John H. Leusner and P. A. V. B. Swamy, from Board of Governors of the Federal Reserve System (U.S.) (1996)
Keywords: capital asset pricing model

How Should Monetary Policy Respond to Asset-price Bubbles?,
David Gruen, Michael Plumb and Andrew Stone, from Reserve Bank of Australia (2003)
Keywords: optimal monetary policy; asset-price bubble

Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis,
Pieter Klaassen, in Management Science (1998)
Keywords: Stochastic Programming, Asset/Liability Management, Asset Pricing Theory, Aggregation Methods

Asset Prices and Hyperbolic Discounting,
Liutang Gong, William Smith and Heng-Fu Zou, in Annals of Economics and Finance (2007)
Keywords: Asset-Pricing, Hyperbolic Discounting

Asset Prices and Hyperbolic Discounting,
Liutang Gong, William Smith and Heng-Fu Zou, from China Economics and Management Academy, Central University of Finance and Economics (2011)
Keywords: Asset-Pricing, Hyperbolic Discounting

Testing the Lower Partial Moment Asset-Pricing Models in Emerging Markets,
Javed Iqbal, Robert D. Brooks and Don Galagedera, from Palgrave Macmillan (2011)
Keywords: Asset Return, Target Rate, Multivariate Test, Downside Risk, Seemingly Unrelated Regression

Asset pricing anomalies: Liquidity risk hedgers or liquidity risk spreaders?,
Nader Shahzad Virk and Hilal Anwar Butt, in International Review of Financial Analysis (2022)
Keywords: Risk; Mispricing; Aggregate liquidity-risk; Asset-pricing models; Estimated risk premium;

The pricing of sentiment risk in European stock markets,
Karl Ludwig Keiber and Helene Samyschew, from European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics (2016)
Keywords: international asset pricing, European risk premia, sentiment risk, conditional asset-pricing model

A note on the estimation of asset pricing models using simple regression betas,
Raymond Kan and Cesare Robotti, from Federal Reserve Bank of Atlanta (2009)
Keywords: Asset pricing; Econometric models

Testing Asset Pricing Model with Coskweness,
Giovanni Urga, Giovanni Barone Adesi and Patrick Gagliardini, from Econometric Society (2004)
Keywords: Coskwness, Asset Pricing, Factor Model, Statistical Tests

Model Complexity, Expectations, and Asset Prices,
Andrea Vedolin, Pooya Molavi and Alireza Tahbaz-Salehi, from C.E.P.R. Discussion Papers (2021)
Keywords: Model complexity; Subjective expectations; Asset pricing

Continuous time one-dimensional asset-pricing models with analytic price–dividend functions,
Yu Chen, Thomas Cosimano and Alex Himonas, in Economic Theory (2010)
Keywords: Analyticity, Asset pricing, Continuous time, G12, G13, C63, D51,

Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation,
Christopher Otrok, B Ravikumar and Charles Whiteman, from University of Iowa, Department of Economics (1999)
Keywords: Equity Premium, Asset Pricing, Spectral Analysis

A five-factor asset pricing model,
Eugene F. Fama and Kenneth French, in Journal of Financial Economics (2015)
Keywords: Asset pricing model; Factor model; Dividend discount model; Profitability; Investment;

Monetary Policy, Asset-price Bubbles and the Zero Lower Bound,
Tim Robinson and Andrew Stone, from Reserve Bank of Australia (2005)
Keywords: monetary policy; asset-price bubbles; zero lower bound

The Conditional CAPM Does Not Explain Asset-pricing Anomalies,
Jonathan Lewellen and Stefan Nagel, from Massachusetts Institute of Technology (MIT), Sloan School of Management (2003)
Keywords: Time-varying betas, conditional CAPM, asset-pricing anomalies, book-to-market, momentum,

Asset Pricing Models,
Paskalis Glabadanidis, from Palgrave Macmillan (2014)
Keywords: Excess Return, Sharpe Ratio, Asset Price Model, Arbitrage Opportunity, Arbitrage Price Theory

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment,
Roman Frydman, Soren Johansen, Anders Rahbek and Morten Tabor, from Institute for New Economic Thinking (2017)
Keywords: Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment,
Roman Frydman, Soren Johansen, Anders Rahbek and Morten Tabor, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT,
Roman Frydman, Soren Johansen, Anders Rahbek and Morten Nyboe, from University of Copenhagen. Department of Economics (2017)
Keywords: Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

A Quantile-based Asset Pricing Model,
Tomohiro Ando, Jushan Bai, Mitohide Nishimura and Jun Yu, from Singapore Management University, School of Economics (2019)
Keywords: Five-factor model; Quantile-based asset pricing model; Risk premium

On the Robustness of Theoretical Asset Pricing Models,
Gregory Phelan and Alexis Akira Toda, from Department of Economics, Williams College (2015)
Keywords: Asset pricing puzzles, heterogeneous-agent model, model misspecification, recursive preferences

The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context,
David Allen and Lurion Demello, from Palgrave Macmillan (2011)
Keywords: Risk Aversion, Asset Price, Risk Premium, Dividend Yield, Market Portfolio

The Bias in Two-Pass Regression Tests of Asset-Pricing Models in Presence of Idiosyncratic Errors with Cross-Sectional Dependence,
Thomas Gramespacher and Armin Bänziger, in Review of Pacific Basin Financial Markets and Policies (RPBFMP) (2019)
Keywords: Asset pricing, errors in variables, simulation, idiosyncratic risk, two-pass regression

AMBIGUITY, LEARNING, AND ASSET RETURNS,
Jianjun Miao and Nengjiu Ju, from Boston University - Department of Economics (2010)
Keywords: Ambiguity aversion, learning, asset-pricing puzzles, model uncertainty, robustness, pessimism, regime switching.

House price dynamics: Fundamentals and expectations,
Eleonora Granziera and Sharon Kozicki, in Journal of Economic Dynamics and Control (2015)
Keywords: House prices; Lucas asset-pricing model; Rational expectations; Near rational expectations;

Autoencoder asset pricing models,
Shihao Gu, Bryan Kelly and Dacheng Xiu, in Journal of Econometrics (2021)
Keywords: Stock returns; Conditional asset pricing model; Nonlinear factor model; Machine learning; Autoencoder; Neural networks; Big data;

How Have District-Based House Price Earnings Ratios Evolved in England and Wales?,
David Gray, in JRFM (2022)
Keywords: house price-earnings ratios; local authority districts; Kendall’s W ; Jonckheere-Terpstra test; an asset-price model

A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil,
Katerin Hern ndez-Gamarra, Julio Sarmiento-Sabogal and Edgardo Cayon-Fallon, in International Journal of Energy Economics and Policy (2015)
Keywords: Market Efficiency, Asymmetric Granger Causality, Asset-pricing Models, MILA Index, Oil Prices

Do industries matter in explaining stock returns and asset-pricing anomalies?,
Pin-Huang Chou, Po-Hsin Ho and Kuan-Cheng Ko, in Journal of Banking & Finance (2012)
Keywords: Industry; Cross-section; Asset pricing model;

Asset Pricing Models,
Wayne E. Ferson, from Springer (2022)
Keywords: Arbitrage, Arbitrage pricing model, Beta pricing model, Capital asset pricing model, Consumption, Durable goods, Factor models, Financial assets, Habit persistence, Intertemporal marginal rate of substitution, Mean variance efficiency, Portfolio optimization, Risk aversion, Stochastic discount factor, Systematic risk

Asset Pricing Models with and without Consumption: An Empirical Evaluation,
Gikas Hardouvelis and Dongcheol Kim, from C.E.P.R. Discussion Papers (1995)
Keywords: Asset Pricing Models; Consumption; Size Effect

The capital asset pricing model and the investment horizon: Comment,
Gabriel Hawawini and Ashok Vora, from University Library of Munich, Germany (1981)
Keywords: Capital asset pricing model; investment horizon

Capital Asset Pricing Model: An Application in Borsa Istanbul,
Cengiz Toraman and Meryem Gul, in International Journal of Academic Research in Business and Social Sciences (2016)
Keywords: Capital Asset Pricing Model, Risk, Beta

A simple test of misspecification for linear asset pricing models,
Antoine Giannetti, in Financial Markets and Portfolio Management (2024)
Keywords: Asset pricing, Risk-premium, Model misspecification, Simulations

Keeping up with the Joneses: An international asset pricing model,
Juan-Pedro Gómez, Richard Priestly and Fernando Zapatero, from Department of Economics and Business, Universitat Pompeu Fabra (2003)
Keywords: Consumption externalities, multifactor asset pricing model

A large-scale approach for evaluating asset pricing models,
Laurent Barras, in Journal of Financial Economics (2019)
Keywords: Asset pricing; Model comparison; Large cross-section;

Asset pricing lessons for modeling business cycles,
Michele Boldrin, Lawrence Christiano and Jonas Fisher, from Federal Reserve Bank of Chicago (1995)
Keywords: Business cycles; capital asset pricing model

Asset pricing lessons for modeling business cycles,
Michele Boldrin, Lawrence Christiano and Jonas Fisher, from Federal Reserve Bank of Minneapolis (1995)
Keywords: capital asset pricing model; Business cycles

Conditions Ensuring the Separability of Asset Demand for All Risk-Averse Investors,
Kaïs Dachraoui and Georges Dionne, from CIRPEE (2004)
Keywords: Portfolio choice, investment effect, hedging effect, regression dependence, two-fund separation, asset-pricing model, copulas

Sentiment asset pricing model with consumption,
Chunpeng Yang and Rengui Zhang, in Economic Modelling (2013)
Keywords: Investor sentiment; Asset pricing model; Financial anomalies; Sentiment force;

The evolution of capital asset pricing models,
Yi-Cheng Shih, Sheng-Syan Chen, Cheng Few Lee and Po-Jung Chen, in Review of Quantitative Finance and Accounting (2014)
Keywords: CAPM, Asset pricing models, Modern capital market theory, G11, G12,

Latent factor model for asset pricing,
Ajim Uddin and Dantong Yu, in Journal of Behavioral and Experimental Finance (2020)
Keywords: Asset pricing; Nonlinear factor model; Machine learning; Autoencoders; Fintech;

An International Dynamic Asset Pricing Model,
Robert Hodrick, David Ng and Paul Sengmueller, in International Tax and Public Finance (1999)
Keywords: capital asset pricing model (CAPM), international stock returns, intertemporal hedging,

Asset pricing model uncertainty,
Daniel Borup, in Journal of Empirical Finance (2019)
Keywords: Abnormal returns; Model uncertainty; Conditional asset pricing; Event study; Calendar-time portfolio returns; Dividend initiations;

Capital Asset Pricing Model (CAPM),
Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé, from Springer (2015)
Keywords: Risk Premium, Portfolio Selection, Risky Asset, Risk Tolerance, Capital Asset Price Model

An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange,
Melody Nyangara, Davis Nyangara, Godfrey Ndlovu and Takawira Tyavambiza, in International Journal of Economics and Financial Issues (2016)
Keywords: Capital Asset Pricing Model, Beta, Capital Asset Pricing

Further tests of asset pricing models: Liquidity risk matters,
Xiuli Ma, Xindong Zhang and Weimin Liu, in Economic Modelling (2021)
Keywords: Liquidity risk; Asset pricing models; Model performance;

Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach,
Johan Ericsson and Sune Karlsson, from Stockholm School of Economics (2004)
Keywords: asset pricing; factor models; Bayesian model selection

Factorial asset pricing models using statistical anomalies,
Mariano González-Sánchez, in Research in International Business and Finance (2022)
Keywords: Asset pricing model; Multifactor model; Outliers; Anomalies; Asymmetrical risk;

An accounting-based asset pricing model and a fundamental factor,
Stephen Penman and Julie Zhu, in Journal of Accounting and Economics (2022)
Keywords: Asset pricing model; Accounting for risk; Risk factor model;

International tests of a five-factor asset pricing model,
Eugene F. Fama and Kenneth French, in Journal of Financial Economics (2017)
Keywords: International asset pricing; Multifactor models; Dividend discount model;

On the estimation of asset pricing models using univariate betas,
Raymond Kan and Cesare Robotti, in Economics Letters (2011)
Keywords: Asset pricing models Risk premia Univariate betas Model misspecification

A Robust Capital Asset Pricing Model,
Doriana Ruffino, from Board of Governors of the Federal Reserve System (U.S.) (2014)
Keywords: Model uncertainty; Mean-variance portfolio-selection theory; Two-fund separation theorem; capital asset pricing model

An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies,
Carl Chiarella and Xuezhong (Tony) He, from Springer (2008)
Keywords: Asset Price, Trading Strategy, Risky Asset, Capital Asset Price Model, Adaptive Model

Asset Pricing - A Brief Review,
Minqiang Li, from University Library of Munich, Germany (2010)
Keywords: Asset Pricing Models

ESG Disclosure and Firm Performance: An Asset-Pricing Approach,
Vinay Khandelwal, Prashant Sharma and Varun Chotia, in Risks (2023)
Keywords: ESG disclosure; firm performance; asset pricing; sustainability; ESG; financial anomaly; factor models

Saving-based asset-pricing,
Johannes K. Dreyer, Johannes Schneider and William T. Smith, in Journal of Banking & Finance (2013)
Keywords: Equity premium puzzle; CCAPM; Saving-based preference; Wealth; Human capital; Asset pricing; Risk aversion;

Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims,
Zhenyu Wang and Xiaoyan Zhang, in Journal of Empirical Finance (2012)
Keywords: Bayesian inference; Asset pricing; Pricing errors; Model comparison; Contingent claims;

On comparing zero-alpha tests across multifactor asset pricing models,
Lieven De Moor, Geert Dhaene and Piet Sercu, in Journal of Banking & Finance (2015)
Keywords: Asset pricing; Pricing errors; Model comparison; Multifactor models;

CAPITAL ASSET PRICING MODEL: A CASE STUDY TO THE SEGMENT OF CIVIL CONSTRUCTION,
Tácito Augusto Farias, Fábio Rodrigues Moura and Luiz Eduardo Nascimento Figueiredo, in Revista de Economia Mackenzie (REM) (2017)
Keywords: Asset Pricing Model, CAPM, Civil construction.

The 52-Week High and Momentum Investing: Implications for Asset Pricing Models,
Julio Lobao and Joao Fernandes, in Annals of Economics and Finance (2017)
Keywords: 52-week high, Momentum, Asset pricing models

An empirical investigation of consumption-based asset pricing models with stochastic habit formation,
Qiang Dai and Olesya Grishchenko, from Board of Governors of the Federal Reserve System (U.S.) (2011)
Keywords: capital asset pricing model; Stocks - Rate of return

A test of the capital asset pricing model on European stock markets,
Franco Modigliani and G. A. Pogue, from Massachusetts Institute of Technology (MIT), Sloan School of Management (1973)
Keywords: HD28 .M414 no.667-,73, Capital assets pricing model,

An Empirical Investigation of Habit-Based Asset Pricing Models,
Sydney Ludvigson and Xiaohong Chen, from Econometric Society (2004)
Keywords: semi-nonparametric conditional moments, Habit-based asset pricing models

The Capital Asset Pricing Model with Diverse Holding Periods,
Haim Levy and Paul Samuelson, in Management Science (1992)
Keywords: stochastic dominance, separation theorem, capital asset pricing model

Estimating and Testing Investment-based Asset Pricing Models,
Frederico Belo, Yao Deng and Juliana Salomao, from C.E.P.R. Discussion Papers (2023)
Keywords: Production-based asset pricing; Q-model; Testing; Estimation

A net beta test of asset pricing models,
Cherif Guermat and Mark C. Freeman, in International Review of Financial Analysis (2010)
Keywords: Factor models Capital asset pricing Conditional beta tests

Avoiding regret in an agent-based asset pricing model,
Radu T. Pruna, Maria Polukarov and Nicholas R. Jennings, in Finance Research Letters (2018)
Keywords: Agent-based model; Asset pricing; Disposition effect; Behavioural bias;

Investor sentiment, information and asset pricing model,
Chunpeng Yang and Jinfang Li, in Economic Modelling (2013)
Keywords: Investor sentiment; Asset pricing model; Financial anomalies; Market efficiency;

Dynamic asset pricing model with heterogeneous sentiments,
Chunpeng Yang and Rengui Zhang, in Economic Modelling (2013)
Keywords: Behavioral finance; Heterogeneous sentiments; Dynamic asset pricing model; Mean reversion;

The αVG model for multivariate asset pricing: calibration and extension,
Florence Guillaume, in Review of Derivatives Research (2013)
Keywords: Multivariate asset pricing, αVG model, Calibration, Calibration risk, G12, C63,

Assessing asset pricing models using revealed preference,
Jonathan B. Berk and Jules van Binsbergen, in Journal of Financial Economics (2016)
Keywords: Asset Pricing Test; Factor Models; CAPM; Mutual Funds; Flows;