Search Results - subject:"conditional asset pricing"

Time-varying factor selection : a sparse fused GMM approach

Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao; Yang, Jiangshan - 2023

Persistent link: https://www.econbiz.de/10014371831

Chen, Luyang; Pelger, Markus; Zhu, Jason - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 714-750

Persistent link: https://www.econbiz.de/10014513601

Asset pricing via the conditional quantile variational autoencoder

Yang, Xuanling; Zhu, Zhoufan; Li, Dong; Zhu, Ke - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 681-694

Persistent link: https://www.econbiz.de/10015053443

Role of international trade competitive advantage and corporate governance quality in predicting equity returns: Static and conditional model proposals for an emerging market

Muzir, Erol; Kizil, Cevdet; Ceylan, Burak - In: Journal of Risk and Financial Management 14 (2021) 3, pp. 1-31

This paper aims to develop some static and conditional (dynamic) models to predict portfolio returns in the Borsa Istanbul (BIST) that are calibrated to combine the capital asset-pricing model (CAPM) and corporate governance quality. In our conditional model proposals, both the traditional CAPM...

Persistent link: https://www.econbiz.de/10012611682

Role of international trade competitive advantage and corporate governance quality in predicting equity returns : static and conditional model proposals for an emerging market

Muzir, Erol; Kizil, Cevdet; Ceylan, Burak - In: Journal of risk and financial management : JRFM 14 (2021) 3/125, pp. 1-31

Persistent link: https://www.econbiz.de/10012486240

Countercyclical and time-varying reward to risk and the equity premium

Antell, Jan; Vaihekoski, Mika - In: Research in international business and finance 66 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014460255

Asset holders' consumption risk and tests of conditional CCAPM

Elkamhi, Redouane; Jo, Chanik - In: Journal of financial economics 148 (2023) 3, pp. 220-244

Persistent link: https://www.econbiz.de/10014335744

Local currency bond returns in emerging economies and the role of foreign investors

So, Inhwan; Valente, Giorgio; Wu, Jason - 2019

Persistent link: https://www.econbiz.de/10012202946

Nonparametric specification testing of conditional asset pricing models

Peñaranda, Francisco; Rodríguez Poo, Juan Manuel; … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1455-1469

Persistent link: https://www.econbiz.de/10013539794

Autoencoder asset pricing models

Gu, Shihao; Kelly, Bryan T.; Xiu, Dacheng - In: Journal of econometrics 222 (2021) 1,2, pp. 429-450

Persistent link: https://www.econbiz.de/10012619654