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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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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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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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Mathematics, 2021 This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The
Adeel Nasir +4 more
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Behavioral portfolio theory and behavioral asset pricing model as an alternative to standard finance concepts [PDF]
Economic Horizons, 2019 The growing gap between standard finance theory and practice has made way for the emergence of new theories and the development of new asset-pricing models.
Miljan Lekovic
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Investor sentiment and foreign financial flows: Evidence from South Africa [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Foreign financial flows to emerging markets have increasingly become important following the opening of financial markets globally. These financial flows are a function of a country’s fundamentals related to future productivity.
Hilary Tinotenda Muguto +2 more
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Testing Agency Model in Capital Asset Pricing [PDF]
تحقیقات مالی, 2017 A new area in capital asset pricing is violation of direct investment assumption leading to agency CAPM. The aim of this study is to make a comparative analysis between direct and agency capital asset pricing models.
Hossein Rezaei Dolat Abadi +2 more
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Conditional autoencoder asset pricing models for the Korean stock market.
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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