Measuring market and inflation risk premia in France and in Germany [PDF]
This paper studies the role of inflation in the determination of financial asset prices. We estimate an Intertemporal Capital Asset Pricing Model à la Merton (1973), with inflation as an independent source of risk, for France and Germany.
Cappiello, Lorenzo, Guéné, Stéphane
core
On the Shortfall of Tail-Based Entropy and Its Application to Capital Allocation. [PDF]
Entropy (Basel)Li P, Yin C.
europepmc +1 more source
The Information Conveyed in a SPAC's Offering. [PDF]
Entropy (Basel), 2021 Cohen G, Cohen G, Qadan M.
europepmc +1 more source
Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts [PDF]
The paper tests a conditional multivariate International Capital Asset Pricing Model for US, Japanese and European stocks and government bonds, covering the period 1993-2001.
Tom A. FEARNLEY
core
Cross-section without factors: a string model for expected returns. [PDF]
Quant FinanceDistaso W, Mele A, Vilkov G.
europepmc +1 more source
Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns [PDF]
This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates.
Dimitrios Malliaropulos +2 more
core
Smart betas, return models and the tangency portfolio weights. [PDF]
PLoS OneLennartsson J, Ekman C.
europepmc +1 more source
A Conditional CAPM Model with Local Covariates for Detecting and Evaluating Active Management
, 2009 Massimiliano Caporin, Francesco Lisi
openalex +1 more source
Asset-pricing models and economic risk premia: a decomposition [PDF]
The risk premia assigned to economic (nontraded) risk factors can be decomposed into three parts: (i) the risk premia on maximum-correlation portfolios mimicking the factors; (ii) (minus) the covariance between the nontraded components of the candidate ...
Cesare Robotti, Pierluigi Balduzzi
core
Factor-based deep reinforcement learning for asset allocation: Comparative analysis of static and dynamic beta reward designs. [PDF]
PLoS OneJung NH, Oh T.
europepmc +1 more source