Search Results - subject:"pricing models"

Forecasting commodity prices using futures : the case of copper

Cortazar, Gonzalo; Enberg, Mariavictoria; Ortega, Hector - In: Risks : open access journal 14 (2026) 1, pp. 1-20

This paper analyzes three forecasting methods for commodity spot prices and applies them to copper prices. The first method uses futures prices from either LME or COMEX. The second method uses analysts' consensus expectations, reported by Bloomberg. The third method jointly uses futures and...

Persistent link: https://www.econbiz.de/10015611243

Media reporting and asset pricing models

Jacobs, Heiko; Lauber, Alexander - In: Journal of banking and finance 182 (2026), pp. 1-15

Persistent link: https://www.econbiz.de/10015559065

Asset Pricing Models and Market Efficiency : Using Machine Learning to Explain Stock Market Anomalies

Kolari, James W.; Liu, Wei; Huang, Jianhua Z.; Liao, Huiling - 2026

Portfolios -- Part II Anomalies Literature and Asset Pricing Models -- 3. Prominent Asset Pricing Models and Anomaly Portfolio … Models Explain Anomaly Stock Portfolio Returns? -- 6. Further Tests of Asset Pricing Models and Anomaly Portfolio Returns … -- Part IV Asset Pricing Model Validity -- 7. Empirical Tests on the Validity of Asset Pricing Models -- Part VI Conclusion …

Persistent link: https://www.econbiz.de/10015576529

Appraising model complexity in option pricing

Cummins, Mark; Esposito, Francesco - In: The journal of futures markets 45 (2025) 5, pp. 455-472

Persistent link: https://www.econbiz.de/10015376680

The cannabis conundrum : persistent negative alphas and portfolio risks

Malhotra, Davinder Kumar; Gupta, Sheetal - In: Risks : open access journal 13 (2025) 10, pp. 1-19

This study investigates whether publicly listed cannabis shares provide enough risk-adjusted returns to warrant their incorporation into diversified portfolios. An equally weighted portfolio of cannabis companies is constructed using monthly data from January 2015 to December 2024. Risk-adjusted...

Persistent link: https://www.econbiz.de/10015492643

Comparison of the CAPM and multi-factor Fama-French models for the valuation of assets in the industries with the highest number of transactions in the US market

Chahuán-Jiménez, Karime; Muñoz-Rojas, Luis; … - In: International Journal of Financial Studies : open … 13 (2025) 3, pp. 1-18

This study comparatively evaluated the Capital Asset Pricing Model (CAPM), the Fama and French three-factor model (FF3), and the Fama and French five-factor model (FF5) in key US market sectors (finance, energy, and utilities). The goals were to optimize financial decisions and reduce valuation...

Persistent link: https://www.econbiz.de/10015457493

Drug pricing models, no "one-size-fits-all" approach : a systematic review and critical evaluation of pricing models in an evolving pharmaceutical landscape

Manders, Evert A.; Berg, Sibren van den; Visser, Saco J. de - In: The European journal of health economics 26 (2025) 4, pp. 683-696

Persistent link: https://www.econbiz.de/10015448455

Factor structure of Green, Grey, and Red EU securities

Kottas, Ferdinantos - In: Risks : open access journal 13 (2025) 9, pp. 1-25

This study examined the factor structure of Green, Grey, and Red EU securities using extended asset pricing models … need for enriched asset pricing models to capture dynamic risk characteristics in environmental assets within the EU …

Persistent link: https://www.econbiz.de/10015467471

AI-powered buy-now-pay-later smart contracts in healthcare

Gonçalves, Ângela Filipa Oliveira; Norali, Shafik Faruc; … - In: FinTech 4 (2025) 2, pp. 1-18

As healthcare systems face mounting pressure to modernise payment infrastructure, fintech innovations have emerged as potential tools to improve affordability and efficiency. However, the adoption of these technologies in clinical settings remains limited. This study investigated the perceptions...

Persistent link: https://www.econbiz.de/10015432856

Investor sentiment and equity mutual fund performance in Brazil

Silva, Sabrina Espinele da; Fonseca, Simone Evangelista; … - In: Journal of economics, finance & administrative science 30 (2025) 59, pp. 189-204

sentiment index in asset pricing models is important for explaining fund alpha. Design/methodology/approach The investor … the 5% level. Overall, the findings suggest that, in the Brazilian market, pricing models incorporating investor sentiment …

Persistent link: https://www.econbiz.de/10015410412