We present a modelling approach for sector asset pricing studies that incorporates sector-level risk factors, subgroup portfolios, and structural breakpoint tests that are better at isolating the time-varying nature and the firm-specific component of returns. Our results show considerable...

We present a modelling approach for sector asset pricing studies that incorporates sector-level risk factors, sub-group portfolios, and structural break point tests that are better at isolating the time-varying nature and the firm-specific component of returns. The sub-group portfolios show...

In this paper we utilise the risk factors from both the finance and energy economics literatures to develop an improved asset pricing model (the Augmented-Four-Factor Model or AFFM) in the context of the European energy utility sector. In addition, we undertake inter-sectoral and inter-temporal...

We document strong evidence of cross-sectional predictability of corporate bond returns based on a set of yield predictors that capture the information in the yields of past 1, 3, 6, 12, 24, 36 and 48 months. Return predictability is economically and statistically significant, and is robust to...

This paper compares models trained with classification algorithm with those trained using regression algorithm. We use technical indicators, 43 bond characteristics and 94 stock characteristics as predictors. We find very strong evidences of the superior predictive ability of classification...