Results 31 to 40 of about 2,230,299 (390)
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 ...
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A Five-Factor Asset Pricing Model
, 2014 A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF 1993).
E. Fama, K. French
semanticscholar +1 more source
Putting the Price in Asset Pricing
The Journal of Finance, 2019 ABSTRACTWe propose a novel way to estimate a portfolio's abnormal price, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time‐series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of ...
Cho, Thummim, Polk, Christopher
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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
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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
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Agency and Asset Pricing [PDF]
SSRN Electronic Journal, 2008 Author(s): Brennan, Michael J. | Abstract: This paper is concerned with the asset pricing implications of the substantial proportion of equity portfolios that are managed on an agency basis. Portfolio managers who act as agents are assumed to be concerned with the mean and variance of their return measured relative to a benchmark portfolio.
Michael J. Brennan, Feifei Li
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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 +2 more
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Multifactor Explanations of Asset Pricing Anomalies
, 1996 Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book-to-market equity, past sales growth, long-term past return, and short-term past return.
E. Fama, K. French
semanticscholar +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
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Exploring Dynamic Asset Pricing within Bachelier Market Model [PDF]
arXiv, 2023 This paper delves into the dynamics of asset pricing within Bachelier market model, elucidating the representation of risky asset price dynamics and the definition of riskless assets.
arxiv