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Asset Pricing at the Millennium [PDF]
The Journal of Finance, 2000 This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and on the tradeoff between risk and return.
John Y. Campbell
semanticscholar +10 more sources
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
doaj +2 more sources
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
doaj +2 more sources
Journal of Statistical Software, 2014 We describe an R package for determining the optimal price of an asset which is perishable in a certain sense, given the intensity of customer arrivals and a time-varying price sensitivity function which speci?es the probability that a customer will ...
Rolf Turner +2 more
doaj +4 more sources
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
doaj +2 more sources
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
doaj +2 more sources
Asset Pricing without Garbage [PDF]
SSRN Electronic Journal, 2016 This paper provides an explanation why garbage as a measure of consumption implies a several times lower coefficient of relative risk aversion in the consumption-based asset pricing model than consumption based on the official National Income and Product
Tim A. Kroencke
semanticscholar +11 more sources
Incomplete Diversification and Asset Pricing [PDF]
, 2002 Investors in equilibrium are modeled as facing investor specific risks across the space of assets. Personalized asset pricing models reflect these risks.
Dilip Madan, Frank Milne, Robert Elliott
core +7 more sources
Assessing Asset Pricing Anomalies [PDF]
Review of Financial Studies, 2000 The optimal portfolio strategy is developed for an investor who has detected an asset pricing anomaly but is not certain that the anomaly is genuine rather than merely apparent.
Michael J. BRENNAN, Yihong XIA
core +5 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
doaj +1 more source