Search Results - subject:"Asset Pricing Model"

Do optimistic portfolios outperform pessimistic portfolios : evidence from textual sentiment

Seetharam, Yudhvir; Nyakurukwa, Kingstone - In: Economics letters 242 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015079993

What are asset price bubbles? : a survey on definitions of financial bubbles

Baumann, Michael; Janischewski, Anja - 2025

Financial bubbles and crashes have repeatedly caused economic turmoil notably but not only during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes unspecified. Due to the multitude of bubble definitions, we...

Persistent link: https://www.econbiz.de/10015207173

Higher order expectations, learning, and sentiment pricing dynamics

Li, Jinfang - 2025

Persistent link: https://www.econbiz.de/10015359880

An information-theoretic asset pricing model

Ghosh, Anisha; Julliard, Christian; Taylor, Alex P. - 2025

Persistent link: https://www.econbiz.de/10015339156

Bank of Japan's ETF purchase program and equity risk premium : a CAPM interpretation

Katagiri, Mitsuru; Shino, Junnosuke; Takahashi, Koji - In: Journal of financial markets 73 (2025), pp. 1-20

Persistent link: https://www.econbiz.de/10015402260

Evolutionary finance : models with short-lived assets

Chen, Zerong - 2024

Persistent link: https://www.econbiz.de/10015153099

Solving heterogeneous-belief asset pricing models with short-selling constraints and many agents

Hatcher, Michael - In: Macroeconomic dynamics 28 (2024) 8, pp. 1715-1738

Persistent link: https://www.econbiz.de/10015154399

Testing asset pricing models with individual stocks : an instrumental variables approach

Candemir, Işıl; Karahan, Cenk C. - In: Borsa Istanbul Review 24 (2024) 5, pp. 952-965

This study empirically tests time-varying asset pricing models in an emerging market with individual stocks. We employ a recently proposed instrumental variables (IV) technique that uses individual stocks as test assets while consistently estimating ex-post risk premiums. This method differs...

Persistent link: https://www.econbiz.de/10015141770

Automated machine learning and asset pricing

Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

Persistent link: https://www.econbiz.de/10015066381

Superiority of six factor model in Indian stock market

Prasad, Saroj S.; Verma, Ashutosh; Bakhshi, Priti; … - In: Cogent economics & finance 12 (2024) 1, pp. 1-14

bivariate), which implies that OLS in the asset pricing model is exaggerated in the Indian context. Single portfolios are … bivariate), which implies that OLS in the asset pricing model is exaggerated in the Indian context. Single portfolios are …This novel work is the first study in India to incorporate the Human capital (HC) factor as a six-factor asset-pricing …

Persistent link: https://www.econbiz.de/10015211241