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A mathematical model for asset pricing
Applied Mathematics and Computation, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hüseyin Merdan, M. Alisen
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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
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Identifying outliers in asset pricing data with a new weighted forward search estimator
Revista Contabilidade & Finanças, 2020 The purpose of this work is to present the Weighted Forward Search (FSW) method for the detection of outliers in asset pricing data. This new estimator, which is based on an algorithm that downweights the most anomalous observations of the dataset, is ...
Alexandre Aronne +2 more
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Developing "Multifactor Asset Pricing Models" Using Threshold Regression Approach and Credit Risk Factor [PDF]
تحقیقات مالیObjective This study aims to develop threshold asset pricing models to enhance the performance of common multi-factor models. Over the past thirty years, asset pricing models have evolved by incorporating pricing anomalies as new factors that previous ...
Hadi Gharehbaghii, Mahmoud Botshekan
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Relative Entropy and Minimum-Variance Pricing Kernel in Asset Pricing Model Evaluation
Entropy, 2020 Recent literature shows that many testing procedures used to evaluate asset pricing models result in spurious rejection probabilities. Model misspecification, the strong factor structure of test assets, or skewed test statistics largely explain this.
Javier Rojo-Suárez +1 more
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The Lost Capital Asset Pricing Model
SSRN Electronic Journal, 2017 Abstract We provide a novel explanation for the empirical failure of the capital asset pricing model (CAPM) despite its widespread practical use. In a rational-expectations economy in which information is dispersed, variation in expected returns over time and across investors creates an informational gap between investors and the ...
Andrei, D, Cujean, J, Wilson, M
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Econometric Evaluation of Asset Pricing Models [PDF]
Review of Financial Studies, 1995 In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency and derive the limiting distribution of these estimators.
Hansen, Lars Peter +2 more
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Role of human assets in measuring firm performance and its implication for firm valuation
Journal of Economic Structures, 2020 The purpose of the study is to evaluate the role of human asset in firm performance and its implication for firm valuation. To do so a modified five-factor model with human asset designed for capturing the size, value, profitability and investment in ...
Moinak Maiti, Darko Vuković
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The Earnings/Price Risk Factor in Capital Asset Pricing Models
Revista Contabilidade & Finanças, 2015 This article integrates the ideas from two major lines of research on cost of equity and asset pricing: multi-factor models and ex ante accounting models.
Rafael Falcão Noda +2 more
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Modelling Sector-Level Asset Prices [PDF]
Journal of Risk and Financial Management, 2017 We present a modelling approach for sector asset pricing studies that incorporates sector-level risk factors, subgroup portfolios, and structural breakpoint tests that are better at isolating the time-varying nature and the firm-specific component of returns.
Daniel J. Tulloch +2 more
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