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The politicization of ESG investing shows why ESG metrics cannot be depoliticized. [PDF]
Humanit Soc Sci CommunChen S.
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Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets
American Journal of Agricultural Economics, 1988AbstractA new asset pricing model, the arbitrage pricing theory, has been developed as an alternative to the capital asset pricing model. The arbitrage pricing theory model is used to analyze the relationship between risk and return for agricultural assets. The major conclusion is that the arbitrage pricing theory results support previous capital asset
Colin A Carter
exaly +3 more sources
Heterogeneous beliefs and routes to chaos in a simple asset pricing model
Journal of Economic Dynamics and Control, 1998William A Brock, Cars Hommes
exaly +2 more sources
Factor Models, Machine Learning, and Asset Pricing
Social Science Research Network, 2022We survey recent methodological contributions in asset pricing using factor models and machine learning. We organize these results based on their primary objectives: estimating expected returns, factors, risk exposures, risk premia, and the stochastic ...
Bryan T. Kelly, D. Xiu
semanticscholar +1 more source
Open Source Cross-Sectional Asset Pricing
Finance and Economics Discussion Series, 2021We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by comparing our t-stats to the original papers' results.
Andrew Y. Chen, Tom Zimmermann
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Investment and Asset Pricing with ESG Disagreement
Social Science Research Network, 2020This paper analyzes the equilibrium implications of ESG rating disagreement for portfolio decisions and asset pricing. Rating disagreement leads to higher effective risk aversion, higher market premium, and lower demand for stocks.
D. Avramov +3 more
semanticscholar +1 more source
SSRN Electronic Journal, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kai Li 0029, Jun Liu
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kai Li 0029, Jun Liu
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Autoencoder asset pricing models
Journal of Econometrics, 2020We propose a new latent factor conditional asset pricing model. Like Kelly, Pruitt, and Su (KPS, 2019), our model allows for latent factors and factor exposures that depend on covariates such as asset characteristics. But, unlike the linearity assumption
Shihao Gu, Bryan T. Kelly, D. Xiu
semanticscholar +1 more source
SSRN Electronic Journal, 2020
Climate change is one of the biggest economic challenges of our time. Given the scale of the problem, the question of whether a carbon tax should be introduced is hotly debated in policy circles. This paper studies the optimal design of a carbon tax when environmental factors, such as air carbon dioxide emissions (CO2), directly affect agents' marginal
Benmir, Ghassane +2 more
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Climate change is one of the biggest economic challenges of our time. Given the scale of the problem, the question of whether a carbon tax should be introduced is hotly debated in policy circles. This paper studies the optimal design of a carbon tax when environmental factors, such as air carbon dioxide emissions (CO2), directly affect agents' marginal
Benmir, Ghassane +2 more
openaire +2 more sources