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
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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
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Financial frictions and stock return: A novel least minus more frictional factor for asset pricing models in emerging economies. [PDF]
PLoS ONEThe primary objective of this study is to empirically evaluate the role of various levels of financial friction in explaining stock returns through different asset pricing models. This study enhances asset pricing model estimates by incorporating diverse
Saifullah Khan +4 more
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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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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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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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Developing Multifactor Asset Pricing Models Using Firm's Life Cycle [PDF]
تحقیقات مالی, 2020 Objective: This research is aimed at introducing firms' life cycles as a new and effective factor on stock return and comparing the performance of the new multifactor asset pricing models (augmented by firm's life cycle factor) with corresponding ...
Mehdi Mirzaie +2 more
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Role of leverage and liquidity risk in asset pricing: evidence from Indian stock market [PDF]
Vilakshan (XIMB Journal of Management), 2022 Purpose – Asset pricing revolves around the core aspects of risk and expected return. The main objective of the study is to test different asset pricing models for the Indian securities market.
Mehak Jain, Ravi Singla
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Emprical Validity of Asset pricing models in Iran's Stock Market: Application of Optimal Significance Level and Equal Probability Test [PDF]
مدلسازی اقتصادسنجی, 2018 One of the most usage of evaluating Empirical Validity of Asset-pricing Models is GRS test. In this paper we implement the GRS test for CAPM and Fama-French 3-factor asset pricing models with explicit consideration of statistical power, by employing the ...
Reza Talebloo +2 more
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