The valuation of banks is inherently complicated because of the uncertainties arising from their information opaqueness and inherent risks. Unlike non-banking firms, banks require specialised equity-side valuation approaches. This study addresses a gap in the literature by examining valuation...

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...

Standard optimal capital tax theory abstracts from modeling asset prices, making it unsuitable for thinking about capital gains and wealth taxation. We study optimal redistributive taxation in an environment with asset price movements, adopting the modern finance view that asset prices fluctuate...

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....

We propose a macro-finance model in which inflation, growth, and the policy rate are driven by unobservable long-run trends and transitory cycles that investors must infer from aggregate data. Their subjective estimates of these trends, and the uncertainty surrounding them, are priced into the...

This paper develops a tractable consumption-based asset-pricing model in an i.i.d. economy that combines rare consumption disasters with ambiguity aversion implemented as a one-period entropic tilt under CRRA utility. Closed-form expressions for the risk-free rate, equity return moments, and the...

Despite the economic relevance of climate-transition risk, firm-level carbon exposure often fails to appear as a robustly priced factor when ESG measures and sustainability shocks are conflated. This study examines whether carbon exposure is conditionally priced in European equity returns using...

Theories of limited attention predict that investors rely on typical patterns to navigate high-dimensional firm characteristics, making atypical firms hard to process. To quantify this difficulty, we propose a data-driven measure of firm atypicality using an autoencoder (ATYP). The model learns...

This study examines the determinants of gold returns over the period 2000-2025, a period marked by recurrent financial crises, geopolitical tensions, and major shifts in global monetary conditions. As gold represents both a strategic commodity and a key reserve asset, understanding the channels...

This study expands previous research by adding intellectual capital to the capital asset pricing model and deepening the measurement of intellectual capital using more comprehensive proxies. This study is novel in that it is related to evaluation according to market developments using tests on...

In recent years, the rapid and significant development of emerging markets has globally led to insight from potential investors and academicians seeking to assess these markets in terms of risk inheritance. Therefore, this study aims to explore the validity and applicability of the capital asset...

Using the capital asset pricing model, this article critically assesses the relative importance of computing 'realized' betas from high-frequency returns for Bitcoin and Ethereum-the two major cryptocurrencies-against their classic counterparts using the 1-day and 5-day return-based betas. The...

In this study, the reliability of the Fama-French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the Moroccan share market, these two models are indeed...

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,...