EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject_exact:"Asset pricing model"
Narrow search

Narrow search

Year of publication
Subject
All
Financial economics 3,644 Kapitalmarkttheorie 3,644 Theorie 1,039 Theory 1,032 CAPM 887 Portfolio selection 793 Portfolio-Management 793 Finanzmarkt 695 Financial market 694 Börsenkurs 581 Share price 579 Anlageverhalten 437 Behavioural finance 429 Risikoprämie 303 Risk premium 303 Capital income 299 Kapitaleinkommen 299 Estimation 251 Schätzung 251 Welt 217 World 217 USA 204 United States 201 Risiko 199 Aktienmarkt 197 Risk 197 Kapitalmarktrendite 193 Stock market 193 Capital market returns 192 Finanzanalyse 187 Financial analysis 183 Efficient market hypothesis 175 Volatilität 174 Effizienzmarkthypothese 173 Finanzmathematik 173 Volatility 172 Optionspreistheorie 156 Option pricing theory 150 Stochastischer Prozess 145 Mathematical finance 144
more ... less ...
Online availability
All
Free 1,385 Undetermined 769 CC license 41
Type of publication
All
Book / Working Paper 2,442 Article 1,195 Journal 91
Type of publication (narrower categories)
All
Article in journal 1,010 Aufsatz in Zeitschrift 1,010 Graue Literatur 918 Non-commercial literature 918 Working Paper 726 Arbeitspapier 721 Hochschulschrift 344 Thesis 233 Lehrbuch 177 Textbook 163 Aufsatz im Buch 151 Book section 151 Collection of articles of several authors 124 Sammelwerk 124 Collection of articles written by one author 75 Sammlung 75 Aufsatzsammlung 68 Bibliografie enthalten 52 Bibliography included 52 Konferenzschrift 41 Systematic review 30 Übersichtsarbeit 30 Conference proceedings 27 Glossar enthalten 22 Glossary included 22 Festschrift 18 Bibliografie 11 Handbook 11 Handbuch 11 Case study 10 Fallstudie 10 Mehrbändiges Werk 6 Multi-volume publication 6 Aufgabensammlung 5 Ratgeber 5 Statistik 5 Article 4 Einführung 4 Mikroform 4 Monografische Reihe 4
more ... less ...
Language
All
English 3,276 German 391 Undetermined 27 Spanish 13 French 10 Italian 10 Portuguese 7 Polish 2 Russian 2 Slovak 2 Serbian 2 Czech 1 Danish 1 Korean 1 Dutch 1
more ... less ...
Author
All
Hens, Thorsten 30 Nagel, Stefan 21 Lochstoer, Lars A. 20 Xiu, Dacheng 20 Kelly, Bryan T. 19 Vayanos, Dimitri 19 Claessens, Stijn 18 Kose, M. Ayhan 18 Adam, Klaus 17 Chernov, Mikhail 17 Jarrow, Robert A. 17 Kruschwitz, Lutz 17 Schenk-Hoppé, Klaus Reiner 17 Cochrane, John H. 16 Lee, Cheng F. 16 Longstaff, Francis A. 16 Rancière, Romain 16 Wachter, Jessica 16 Grüning, Patrick 15 Lopez de Prado, Marcos 15 McAleer, Michael 15 Mehra, Rajnish 15 Woolley, Paul 15 Anufriev, Mikhail 14 Campbell, John Y. 14 Guidolin, Massimo 14 Lester, Benjamin 14 Schinckus, Christophe 14 Weber, Michael 14 Weill, Pierre-Olivier 14 Barro, Robert J. 13 Evstigneev, Igor V. 13 Fostel, Ana 13 Hansen, Lars Peter 13 He, Zhiguo 13 Jovanovic, Franck 13 Platen, Eckhard 13 Spremann, Klaus 13 Adrian, Tobias 12 Başak, Suleyman 12
more ... less ...
Institution
All
National Bureau of Economic Research 134 Springer Fachmedien Wiesbaden 9 Center for Economic Research <Tilburg> 5 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 5 Springer International Publishing 5 Verlag Dr. Kovač 4 Association of European Operational Research Societies / Working Group on Financial Modelling 3 Books on Demand GmbH <Norderstedt> 3 Centro de Estudios Monetarios Latinoamericanos <México> 3 Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart> 3 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 3 Universitat Pompeu Fabra / Departament d'Economia i Empresa 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 American Finance Association 2 Auckland Centre for Financial Research 2 Banco Central do Brasil 2 Brookings Institution 2 Bucerius Law School 2 Centralna Banka Crne Gore 2 Conference Innovations in Derivatives Markets - Fixed Income Modelling, Valuation Adjustments, Risk Management, and Regulation <2015, Garching-Hochbrück> 2 Conference on Risk and the Rate of Return <1973, Vail, Colo.> 2 Federal Reserve System / Division of Research and Statistics 2 FinanzBuch Verlag 2 Goethe-Universität Frankfurt am Main 2 Institut de Préparation à l'Administration et à la Gestion (IPAG) 2 Institute of Chartered Financial Analysts of India 2 Národná Banka Slovenska 2 Oxford Financial Research Centre 2 Springer-Verlag GmbH 2 Udruženje Banaka Srbije 2 Universität Hannover / Wirtschaftswissenschaftliche Fakultät 2 Wharton School 2 AMACOM 1 Akademija Bjudžeta i Kaznačejstva <Moskau> 1 Analistas Financieros Internacionales, SA <Madrid> 1 Associazione Operatori Bancari in Titoli 1 Associazione per la matematica applicata alle scienze economiche e sociali 1 Bachelier Finance Society 1 Birkbeck College 1 CFA Institute <Charlottesville, Va.> / Research Foundation 1
more ... less ...
Published in...
All
NBER working paper series 134 Working paper / National Bureau of Economic Research, Inc. 130 NBER Working Paper 102 SpringerLink / Bücher 60 Discussion paper / Centre for Economic Policy Research 46 The review of financial studies 38 Research paper series / Swiss Finance Institute 30 Journal of financial economics 29 Journal of economic theory 25 The journal of finance : the journal of the American Finance Association 25 Journal of mathematical economics 23 Journal of economic dynamics & control 22 Discussion papers / CEPR 19 Swiss Finance Institute Research Paper 19 International review of financial analysis 18 Management science : journal of the Institute for Operations Research and the Management Sciences 18 Working paper 18 Finance and stochastics 17 Journal of banking & finance 17 Annual review of financial economics 16 Dissertation Series CentER 15 Finance research letters 15 Springer eBook Collection 15 Springer eBook Collection / Business and Economics 15 Gabler Edition Wissenschaft 14 Review of finance : journal of the European Finance Association 14 Economic modelling 13 PhD series / Copenhagen Business School 13 Journal of empirical finance 12 Journal of financial and quantitative analysis : JFQA 12 Tinbergen Institute research series 12 CESifo working papers 11 Journal of economic behavior & organization : JEBO 11 Policy research working paper : WPS 11 Wiley finance series 11 IMF working papers 10 Working papers / Rodney L. White Center for Financial Research 10 Applied economics 9 Corporate finance : Finanzierung, Kapitalmarkt, Bewertung, Mergers & Acquisitions 9 Economic theory : official journal of the Society for the Advancement of Economic Theory 9
more ... less ...
Source
All
ECONIS (ZBW) 3,684 RePEc 34 EconStor 9 Other ZBW resources 1
Showing 1 - 50 of 3,728
Cover Image
The effects of misperceived managerial skills : evidence from Chinese mutual funds
Cai, Yue - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015176805
Saved in:
Cover Image
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://ebvufind01.dmz1.zbw.eu/10015207173
Saved in:
Cover Image
Higher order expectations, learning, and sentiment pricing dynamics
Li, Jinfang - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015359880
Saved in:
Cover Image
Text spillover : measuring connectedness of financial institutions based on news text data
Klaucke, Konstantin - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015359881
Saved in:
Cover Image
An information-theoretic asset pricing model
Ghosh, Anisha; Julliard, Christian; Taylor, Alex P. - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339156
Saved in:
Cover Image
Multi-asset bubbles equilibrium price dynamics
Cordoni, Francesco - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338090
Saved in:
Cover Image
Is there a value premium in cryptoasset markets?
Liebi, Luca J. - 2022 - [Version] January 19, 2022
This paper identifies active addresses-to-network value as an additional common risk factor in the returns on cryptoassets. Investigating 652 cryptoassets, I find anomalous returns that increase with active addresses-to-network value ratio, a proxy for the value anomaly. Cryptoassets with a high...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012609730
Saved in:
Cover Image
Evolutionary finance : models with short-lived assets
Chen, Zerong - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015153099
Saved in:
Cover Image
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://ebvufind01.dmz1.zbw.eu/10015154399
Saved in:
Cover Image
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://ebvufind01.dmz1.zbw.eu/10015141770
Saved in:
Cover Image
Bond pairs and the term structure
Díaz Pérez, Antonio; Livingston, Miles - In: The journal of financial research : the journal of the … 47 (2024) 4, pp. 1021-1054
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015166462
Saved in:
Cover Image
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://ebvufind01.dmz1.zbw.eu/10015066381
Saved in:
Cover Image
Asset pricing and Machine Learning : a critical review
Bagnara, Matteo - In: Journal of economic surveys 38 (2024) 1, pp. 27-56
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014474349
Saved in:
Cover Image
Multi-agent equilibrium model with heterogeneous views on fundamental risks in incomplete market
Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014494158
Saved in:
Cover Image
Media sentiment and stock returns
Bask, Mikael; Forsberg, Lars; Östling, Andreas - In: The quarterly review of economics and finance 94 (2024), pp. 303-311
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014494686
Saved in:
Cover Image
Essays in financial economics
Groeger, Henrike Leonie - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014546176
Saved in:
Cover Image
Climate risk definition and measures : asset pricing models and stock returns
Capriotti, Alessio; Cipollini, Andrea; Muzzioli, Silvia - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014550912
Saved in:
Cover Image
Essays in financial markets and beliefs
Spina, Alessandro - 2024 - First edition
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014553165
Saved in:
Cover Image
Machine learning for continuous-time finance
Duarte, Victor; Duarte, Diogo; Silva, Dejanir H. - 2024
We develop an algorithm for solving a large class of nonlinear high-dimensional continuous-time models in finance. We approximate value and policy functions using deep learning and show that a combination of automatic differentiation and Ito's lemma allows for the computation of exact...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014464166
Saved in:
Cover Image
Multi-agent equilibrium model with heterogeneous views on fundamental risks in incomplete market
Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014513437
Saved in:
Cover Image
Learning whether to be informed in an agent-based evolutionary market model
Pellizzari, Paolo - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014534836
Saved in:
Cover Image
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://ebvufind01.dmz1.zbw.eu/10015079993
Saved in:
Cover Image
Essays on empirical asset pricing
Halskov, Kristoffer - 2024 - First edition
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015056976
Saved in:
Cover Image
The extreme temperature factor in asset pricing models : evidence from Europe
González Sánchez, Mariano; Arguedas Sanz, Raquel; San … - In: Finance research letters 66 (2024), pp. 1-10
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015057744
Saved in:
Cover Image
The economic value of cross-predictability : a performance-based measure
Bagnara, Matteo - 2024
Cross-predictability denotes the fact that some assets can predict other assets' returns. I propose a novel performance-based measure that disentangles the economic value of cross-predictability into two components: the predictive power of one asset's signal for other assets' returns...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014584406
Saved in:
Cover Image
Autoencoder asset pricing models and economic restrictions - international evidence
Nechvátalová, Lenka - 2024
We evaluate the performance of the Conditional Autoencoder (CAE) model by Gu et al. (2021) in an international context and under economic constraints, such as the exclusion of microcap and illiquid firms, and accounting for transaction costs. The CAE model leverages latent factors and factor...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015044944
Saved in:
Cover Image
Certainty of uncertainty for asset pricing
Jiang, Fuwei; Kang, Jie; Meng, Lingchao - In: Journal of empirical finance 78 (2024), pp. 1-23
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015101663
Saved in:
Cover Image
Investments and asset pricing in a world of satisficing agents
Berrada, Tony; Bossaerts, Peter L.; Ugazio, Giuseppe - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014484612
Saved in:
Cover Image
The stochastic discount factor, investment, and asset pricing : three essays in macroeconomics and finance
Bourrousse, Hugo - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015334660
Saved in:
Cover Image
Empirical asset pricing with many test assets
Lönn, Rasmus; Schotman, Peter C. - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338790
Saved in:
Cover Image
Machine learning for continuous-time finance
Duarte, Victor; Duarte, Diogo; Silva, Dejanir H. - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015359477
Saved in:
Cover Image
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
This novel work is the first study in India to incorporate the Human capital (HC) factor as a six-factor asset-pricing model and presents a robust methodology. The aim of this work is to examine the ability of the six-factor model to capture excess returns using a GMM framework with time periods...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015211241
Saved in:
Cover Image
The predictive power of multi-factor asset pricing models : evidence from Pakistani banks
Salim, Muhammad; Hashmi, Muhammad Arsalan; Abdullah, A. - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 11, pp. 1-10
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012670978
Saved in:
Cover Image
Heterogeneous tail generalized common factor modeling
Hediger, Simon; Näf, Jeffrey; Paolella, Marc S.; … - 2021
A multivariate normal mean-variance heterogeneous tails mixture distribution is proposed for the joint distribution of financial factors and asset returns (referred to as Factor-HGH). The proposed latent variable model incorporates a Cholesky decomposition of the dispersion matrix to ensure a...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012799624
Saved in:
Cover Image
A model of cycles and bubbles under heterogeneous beliefs in financial markets
Burs, Carina - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014225865
Saved in:
Cover Image
Enhancing stock market anomalies with machine learning
Gonçalves de Azevedo, Vitor; Hoegner, Christopher - In: Review of quantitative finance and accounting 60 (2023) 1, pp. 195-230
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013548972
Saved in:
Cover Image
Stock Mispricing, Differences of Opinion, and Short-Sale Constraints
Huang, Kai-Min; Kuo, I-Doun; Wang, Rong-Tsorng - 2023
Emerging stock markets are dominated with overconfident individual investors and in those markets short-sale constraints are frequently used to promote market stability. The unique market participants and regulations may influence the formation of stock prices and potentially lead to stock...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014353152
Saved in:
Cover Image
Interactions in Asset Pricing
Coqueret, Guillaume; Chevalier, Guillaume; Raffinot, Thomas - 2023
We propose a linearization of rule-based algorithms that reveals the most important interactions between characteristics and macroeconomic variables when explaining future stock returns. Our results suggest that the two types of predictors are intertwined, which implies that the relationships...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014353206
Saved in:
Cover Image
Fragility of Safe Asset Markets
Eisenbach, Thomas M.; Phelan, Gregory - 2023
In March 2020, safe asset markets experienced surprising and unprecedented price crashes. We explain how strategic investor behavior can create such market fragility in a model with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014355145
Saved in:
Cover Image
Multi-Asset Bubbles Equilibrium Price Dynamics
Cordoni, Francesco - 2023
The price-bubble and crash formation process is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based models, where agents are distinguished in terms of factor...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014356042
Saved in:
Cover Image
Big Data Asset Pricing Lecture 2 : A Primer on Empirical Asset Pricing (Presentation Slides)
Pedersen, Lasse Heje - 2023
These lecture notes are part of a course on Big Data Asset Pricing. The topics covered in this Primer on Empirical Asset Pricing include the basic questions in empirical asset pricing, how to make factors, how to use factors in factor models, regressions (time series, cross-sectional,...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014362303
Saved in:
Cover Image
Big Data Asset Pricing 4 : The Factor Zoo and Replication
Pedersen, Lasse Heje - 2023
These lecture notes are part of a course on Big Data Asset Pricing. The topics covered include the factor zoo, replication in science and in finance, frequentist multiple testing adjustments, a Bayesian model to interpret factor evidence and preserve power in its multiple testing adjustment, and...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014362304
Saved in:
Cover Image
Big Data Asset Pricing 5 : Machine Learning in Asset Pricing
Pedersen, Lasse Heje - 2023
These lecture notes are part of a course on Big Data Asset Pricing. The topics covered include an overview of machine learning, supervised and unsupervised learning, and general ML methods such as bias-variance trade-off, hyper-parameter tuning, train-validation-test methods, and feature...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014362310
Saved in:
Cover Image
Asset bubbles and credit constraints : comment
Hori, Takeo; Im, Ryonghun - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014417885
Saved in:
Cover Image
Interpretable Machine Learning for Asset Pricing
Kapetanios, George; Kempf, Felix; Massacci, Daniele - 2023
We use deep neural networks to estimate time-varying equity risk premia. The key innovations are the nonlinear and non-parametric generalisation of Fama-Macbeth regressions through partial derivatives of an arbitrary estimator function with respect to its input and the introduction of Jacobian...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014344242
Saved in:
Cover Image
Exploring Generative AI for Modeling the Dynamics of Asset Price Process
Park, Jinseong; Ko, Hyungjin; Lee, Jaewook - 2023
Artificial Intelligence (AI) models have been recently studied in finance to discover data patterns. However, generative AI, particularly in image synthesis, remains relatively unexplored. In this paper, we investigate the potential of generative AI to model unknown dynamics using stock chart...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014347030
Saved in:
Cover Image
Economic uncertainty : mispricing and ambiguity premium
Cai, Charlie X.; Fu, Xi; Kerestecioglu, Semih - In: European financial management : the journal of the … 29 (2023) 5, pp. 1702-1751
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014430235
Saved in:
Cover Image
Heterogeneous tail generalized common factor modeling
Hediger, Simon; Näf, Jeffrey; Paolella, Marc S.; … - In: Digital finance : smart data analytics, investment … 5 (2023) 2, pp. 389-420
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014369265
Saved in:
Cover Image
Portfolio diversification, hedge and safe-haven properties in cryptocurrency investments and financial economics : a systematic literature review
Almeida, José; Gonçalves, Tiago Cruz - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-25
Our study collected and synthetized the existing knowledge on portfolio diversification, hedge, and safe-haven properties in cryptocurrency investments. We sampled 146 studies published in journals ranked in the Association of Business Schools 2021 journals list, considering all fields of...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014301580
Saved in:
Cover Image
Tradable factor risk premia and oracle tests of asset pricing models
Quaini, Alberto; Trojani, Fabio; Yuan, Ming - 2023 - This version: September 16, 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014480342
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...