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BIBLIOMETRIC ANALYSIS OF SHARIAH COMPLIANT CAPITAL ASSET PRICING MODELS

Journal of Islamic Monetary Economics and Finance, 2023
This study conducts a bibliometric analysis of the literature on shariah compliant asset pricing based on Scopus-indexed publications. The data on publications are collected employing a search string encompassing various keywords related to Islamic ...
Nihal Touti, Asmâa Alaoui Taïb
doaj   +1 more source

The impact of time-varying risk on stock returns: an experiment of cubic piecewise polynomial function model and the Fourier Flexible Form model

Data Science in Finance and Economics, 2021
With fast evolving econometric techniques being adopted in asset pricing, traditional linear asset pricing models have been criticized by their limited function on capturing the time-varying nature of data and risk, especially the absence of data ...
Fangzhou Huang, Jiao Song, Nick J. Taylor   +2 more
doaj   +1 more source

Deep Learning in Asset Pricing [PDF]

Management Sciences, 2019
We use deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, keeps a fully flexible form, and accounts for time variation.
Luyang Chen, Markus Pelger, Jason Zhu
semanticscholar   +1 more source

Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments [PDF]

, 2007
Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong.
Bossaerts, Peter, Plott, Charles, Zame, William R.   +2 more
core   +2 more sources

Asset prices and priceless assets [PDF]

, 2014
Cette thèse étudie plusieurs aspects de la dynamique du rendement des actifs. Les trois premiers chapitres ont pour objet la formation des prix sur le marché de l'art. Le premier chapitre établit que les prix peuvent s'écarter temporairement, et de manière partiellement prévisible, de la valeur fondamentale.
openaire   +3 more sources

Asset Pricing Theories, Models, and Tests [PDF]

, 2013
An important but still partially unanswered question in the investment field is why different assets earn substantially different returns on average.
Gospodinov, N, Robotti, C
core   +1 more source

Empirical Asset Pricing Via Machine Learning

The Review of financial studies, 2018
We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premiums. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling
Shihao Gu, B. Kelly, D. Xiu
semanticscholar   +1 more source

Optimal Asset Pricing

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, Pradeep Banerjee, Rayomand Shahlori   +2 more
doaj   +1 more source

Portefeuljebestuur, die kapitaalmarkprysmodel en verwante tegnieke

South African Journal of Business Management, 1990
The importance of risk management in business has long been recognised. The importance, assumptions and limitations of the Capital Asset Pricing Model is generally accepted and an elaborate introduction is therefore not necessary.
J. Van Zyl Smit
doaj   +1 more source

Employment and asset prices [PDF]

Applied Economics, 2012
A medium-term relationship exists between share prices, normalised by labour productivity, and the rate of unemployment in the OECD countries. A similar relationship appears to exist between unemployment and house prices. This helps explain decadal changes in mean unemployment, such as the shift to higher mean unemployment in the Continental European ...
openaire   +4 more sources