Conditional autoencoder asset pricing models for the Korean stock market. [PDF]
PLoS ONE, 2023 This study analyzes the explanatory power of the latent factor conditional asset pricing model for the Korean stock market using an autoencoder. The autoencoder is a type of neural network in machine learning that can extract latent factors. Specifically,
Eunchong Kim +3 more
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Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models. [PDF]
PLoS ONE, 2020 Most single-factor and multifactor asset pricing models constitute special cases of the consumption-based asset pricing theory, in which investors' marginal utility is the key determinant of asset prices.
Javier Rojo-Suárez +1 more
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Relative Entropy and Minimum-Variance Pricing Kernel in Asset Pricing Model Evaluation [PDF]
Entropy, 2020 Recent literature shows that many testing procedures used to evaluate asset pricing models result in spurious rejection probabilities. Model misspecification, the strong factor structure of test assets, or skewed test statistics largely explain this.
Javier Rojo-Suárez +1 more
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Entropy-based financial asset pricing. [PDF]
PLoS ONE, 2014 We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model.
Mihály Ormos, Dávid Zibriczky
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Investor Psychology and Asset Pricing
Journal of Finance, 2001 The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation.
David Hirshleifer
exaly +2 more sources
Application of Machine Learning in Financial Asset Pricing:A Review [PDF]
Jisuanji kexue, 2022 The key problem of financial asset allocation is asset price.Asset pricing is the core content of modern finance,which indicates that asset pricing law has always been one of the hot topics of financial research.This paper reviews the methods used by ...
XU Jie, ZHU Yu-kun, XING Chun-xiao
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Asset pricing in global scenario: a bibliometric analysis [PDF]
IIM Ranchi Journal of Management Studies, 2023 Purpose – This study aims to organise and present the development of asset pricing models in the international environment. The stock market integration and cross-listing lead us to another objective of bibliometric analysis for “International Asset ...
Aditya Keshari, Amit Gautam
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Profitability effects of financial globalization in an emerging market banking industry: insights into Turkey [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 The massive financial liberalization followed by accelerating financial globalization leaded to significant structural changes in the financial sector.
Ece C. Akdoğan, Ekin Ayşe Özşuca
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Is Human Capital the Sixth Factor? Evidence from US Data [PDF]
ACRN Journal of Finance and Risk Perspectives, 2019 Problem/Relevance: Measuring the risk of an asset and the economic forces driving the price of the risk is a challenging task that preoccupied the asset pricing literature for decades.
Rahul Roy, Santhakumar Shijin
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Modeling Assets Pricing Using Behavioral Patterns; Fama-French Approach [PDF]
Iranian Journal of Finance, 2019 Behavioral finance is a new issue raised by some financial intellectuals over the past two decades and has been quickly addressed by professors, experts, and students throughout the world.
Mohammad Nasiri +3 more
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