Climate change, trade wars, supply-chain disruptions, and geopolitical uncertainty - one may characterize the post-COVID era as such. The Circular Economy, with its focus on a circular production process, is a framework that addresses exactly these drivers of heightened uncertainty. We propose...

Workforce adjustments, such as mass layoffs, are significant corporate events that can influence stock returns and volatility, yet their broader asset-pricing implications remain underexplored. We examine the impact of such workforce shocks on stock performance from an asset-pricing perspective....

This paper confirms the positive empirical relationship between CAPM-implied target asset betas and bidder announcement returns originally documented by Dessaint et al. (Rev Financ Stud 34(1):1–66, 2021) for U.S. takeover bids. We successfully replicate the main regression results...

This paper reassesses how inflation risk is addressed in CAPM-based equity valuation models. By distinguishing between two consistent valuation frameworks—one assuming a deterministic real interest rate, the other a deterministic nominal rate—we demonstrate that many previous attempts to...

This study examined the factor structure of Green, Grey, and Red EU securities using extended asset pricing models built on the Fama–French and Carhart frameworks. The findings show improved return predictability and consistently negative risk-adjusted alpha across categories post-Global...

This paper examines the pricing effect of cross-sectional patterns in the cryptocurrency market, aiming to enhance the composition of asset pricing factors for a better explanation of cross-sectional variability in cryptocurrency returns.The study utilizes data from 1,160 cryptocurrencies...

This study examines the performance of trading strategies based on beta, idiosyncratic volatility (IVOL), MAX (lottery behavior), skewness, and tail risk in five major Asian markets, using data from 1999 to 2021. The most important determinant of cross-sectional differences in strategy premiums...

This study models a representative agent with generalized disappointment aversion preferences in an endowment economy. This model addresses the average upward slope in U.S. real bond yields, equity premium puzzle, and equity volatility puzzle. We integrate a two-state Markov switching process...

The purpose of this study is to explore whether ESG (Environmental, Social, and Governance) criteria can serve as a valuable tool for investors when making rational decisions about financial security selection and portfolio construction. By applying Modern and Post-Modern portfolio theories (MPT...

This paper provides robust empirical evidence that shocks to aggregate Research and Development (R&D) have persistent effects on macroeconomic dynamics and represent a significant risk for investors, as predicted by the 'long-run risk' literature. The analysis focuses on a single variable,...

This article analyzes the predictability of market betas concerning cryptocurrency assets and evaluates the efficiency of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods, including ordinary least squares (OLS) and Vasicek's Bayesian...

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...

This paper integrates tail aversion, implemented via a one-period entropic tilt, with rare disasters in a consumption-based asset pricing model with CRRA utility to jointly address the equity premium and risk-free rate puzzles. The model delivers closed-form expressions for the risk-free rate...