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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Econometric Asset Pricing Modelling [PDF]
SSRN Electronic Journal, 2008 Econometric Asset Pricing Modelling The purpose of this paper is to propose a general econometric approach to asset pricing modelling based on three main ingredients : (i) the historical discrete-time dynamics of the factor representing the information, (ii) the Stochastic Discount Factor (SDF), and (iii) the discrete-time risk-neutral (R.N.) factor ...
H. Bertholon, A. Monfort, F. Pegoraro
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A fuzzy multifactor asset pricing model [PDF]
Annals of Operations Research, 2021 This paper introduces a new approach of multifactor asset pricing model estimation. This approach assumes that the monthly returns of financial assets are fuzzy random variables and estimates the multifactor asset pricing model as a fuzzy linear model.
Alfred Mbairadjim Moussa +1 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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