Results 1 to 10 of about 2,183,821 (353)
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
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.
J. Campbell
semanticscholar +6 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
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
A six-factor asset pricing model [PDF]
Borsa Istanbul Review, 2018 The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model.
Rahul Roy, Santhakumar Shijin
doaj +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
doaj +1 more source
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
doaj +1 more source
Securitization and Asset Prices. [PDF]
SSRN Electronic Journal, 2015 We investigate the link between securitization and asset prices and show that increases in the growth rate of the volume of ABS issuance lead to a sizable decline in bond and\ud equity premia. Furthermore, we show that in a model where banks select their portfolio of assets and create synthetic securities, the compensation for undertaking risk ...
Yunus Aksoy, Henrique S. Basso
openaire +6 more sources
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
doaj +1 more source