Autoregressive multifactor APT model for U.S. Equity Markets [PDF]
Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate linear regression. We choose three sets of factors – Market specific, firm specific, and an autoregressive return term to explain returns ...
Malhotra, Karan
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Intertemporal Asset Pricing Without Consumption Data [PDF]
This paper proposes a new way to generalize the insights of static asset pricing theory to a multi-period setting. The paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing
John Y. Campbell
core
Investors' exit timing of PPP projects based on escalation of commitment. [PDF]
PLoS One, 2021 Wang Y, Chen J, Liu J, Zhou C.
europepmc +1 more source
Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors [PDF]
This study examines how negative skewness a¤ects the behaviour of prudent investors. It also shows how the commonly used frame- work in the intertemporal asset pricing and the dynamic portfolio- consumption choice literature can generate negative ...
Alexandros Kostakis
core
Attention based dynamic graph neural network for asset pricing. [PDF]
Glob Financ J, 2023 Uddin A, Tao X, Yu D.
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Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange [PDF]
This study examines the Capital Asset Pricing Model of Sharpe (1964) Lintner (1965) and Black (1972) as the benchmark model in the asset pricing theory.
Attiya Y. Javid, Eatzaz Ahmad
core
A heuristic model for the cost of capital of healthcare facilities: estimates for five countries. [PDF]
BMC Health Serv ResZuniga-Jara S +2 more
europepmc +1 more source
Covid-19 and smart beta: A case study on the role of sectors. [PDF]
Financ Mark Portf Mang, 2021 Hasaj M, Scherer B.
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Ratchet vs Blasé Investors and Asset Markets [PDF]
His paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) consumption level is a function of wealth.
Pascal St-Amour
core
Factor-based deep reinforcement learning for asset allocation: Comparative analysis of static and dynamic beta reward designs. [PDF]
PLoS OneJung NH, Oh T.
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