{"topic":"Asset Pricing & Factors","items":[{"title":"Trust, Rule of Law, and the Size Premium: Evidence from a Meta-Analysis","url":"/papers/arxiv/2609.26212/","summary":"Meta-analysis of 1,613 size-premium estimates across 31 countries finds that stronger rule of law is associated with larger size premia, contrary to intuition.","featured":"2026-09-25","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"fanfare"},{"title":"From D&I to D&I: European Capital Markets' Regime Shift from Diversity and Inclusion to Defence and Infrastructure","url":"/papers/ssrn/7477998/","summary":"European defence stocks repriced sharply starting November 2021, two to three months before Russia's invasion, delivering 26% alpha and reflecting release of ESG-exclusion constraints.","featured":"2026-09-25","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":4,"scale":"fanfare"},{"title":"Speculative Leverage and Factor Momentum","url":"/papers/ssrn/7512099/","summary":"Factor momentum strategies earn 49 basis points per month extra return following quarters of rapid margin-debt growth, a predictability that persists after publication and reflects limits to arbitrage correction.","featured":"2026-09-25","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"fanfare"},{"title":"Firm-Specific Price Delay and Momentum","url":"/papers/ssrn/7518623/","summary":"Momentum profits concentrate among firms with high price delay, a measure of information friction, directly supporting theories that gradual information incorporation drives momentum.","featured":"2026-09-25","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"fanfare"},{"title":"Crossing the Zero Lower Bound: Negative Interest Rates and Corporate Valuation","url":"/papers/ssrn/7512572/","summary":"Comparing firms across the ECB's 2014 negative rate adoption shows treated European firms had higher valuations but reduced leverage, suggesting cash-flow and discount-rate channels dominate tax-shield effects.","featured":"2026-09-25","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"fanfare"},{"title":"Skewness Risk Premia and the Cross-Section of Currency Returns","url":"/papers/repec/cpr-ceprdp-20587/","summary":"Using model-free skewness measures from currency options, the study shows that skewness risk is priced in currency returns and explains variation across a broad cross-section of currency portfolios.","featured":"2026-09-25","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"fanfare"},{"title":"Asset Embeddings","url":"/papers/repec/cpr-ceprdp-20082/","summary":"The paper shows that portfolio holdings contain all information needed for asset pricing and develops asset embeddings analogous to word embeddings to represent firms and predict valuations.","featured":"2026-09-25","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"fanfare"},{"title":"Pricing Risk Globally: Intermediary Constraints, the Dollar, and the Global Financial Cycle","url":"/papers/repec/fip-fedgif-103716/","summary":"A two-country model shows that uncertainty shocks tighten intermediary constraints, widening credit spreads, appreciating the dollar, and raising currency risk premia globally.","featured":"2026-09-25","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"fanfare"},{"title":"Carry Trade and Currency Crash Risk","url":"/papers/repec/cpr-ceprdp-20745/","summary":"Focusing on dollar-lira trading, the paper shows that higher crash risk significantly increases carry trade expected returns, accounting for 46–77% of compensation through Shapley decomposition.","featured":"2026-09-25","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"fanfare"},{"title":"Rate Risk and Rate Insurance","url":"/papers/repec/nbr-nberwo-35636/","summary":"Stock returns are dampened by rate insurance: falling rates cushion payoff risk in bad times while rising rates in good times hedge duration exposure.","featured":"2026-09-25","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"fanfare"},{"title":"Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux","url":"/papers/repec/nbr-nberwo-35579/","summary":"The research identifies common risk factors spanning stocks, corporate bonds, and options linked to economic indicators, revealing significant market segmentation and cross-asset hedging opportunities.","featured":"2026-09-25","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"fanfare"},{"title":"Exogenous Risk, Hedging Pressure, and Risk Premia in Agricultural Commodity Markets","url":"/papers/repec/ags-aaea26-404411/","summary":"Traders place 15% weight on USDA crop reports relative to private priors when forming price expectations, with this anchoring weight rising when private analyst disagreement increases.","featured":"2026-09-25","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"fanfare"},{"title":"Interpretable Machine Learning for Asset Pricing","url":"/papers/ssrn/4473746/","summary":"The paper utilizes deep neural networks to more accurately estimate equity risk premia over time, enhancing the interpretability of machine learning in economics.","featured":"2025-12-28","label":"SSRN","topic":"Asset Pricing & Factors","cites":5,"score":1135,"scale":"shares"},{"title":"Asset Pricing and Stochastic Discount Factors","url":"/papers/ssrn/4465240/","summary":"The paper outlines the required conditions for modeling stock prices with characteristics-based factor portfolios, addressing covariate structure issues.","featured":"2025-12-28","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":89,"scale":"shares"},{"title":"The Cross-Section of Factor Returns","url":"/papers/ssrn/4441376/","summary":"Most of the 150 equity factors examined show positive returns but fail to deliver excess returns after accounting for risk, especially in downturns.","featured":"2025-12-19","label":"SSRN","topic":"Asset Pricing & Factors","cites":7,"score":4399,"scale":"shares"},{"title":"Interpretable Deep Learning for Stock Returns: A Consensus-Bottleneck Asset Pricing Model","url":"/papers/arxiv/2512.16251/","summary":"The Consensus-Bottleneck Asset Pricing Model uses a neural network to mimic analyst reasoning, showing how investor beliefs influence asset prices and enhancing long-term predictions for U.S. stocks.","featured":"2025-12-19","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":1,"scale":"shares"},{"title":"Are Penalty Shootouts Better Than a Coin Toss? Evidence From International Club Football in Europe","url":"/papers/arxiv/2510.17641/","summary":"Using UEFA penalty shootout data (2000–2025) we find outcomes are essentially random—no measurable advantage from kicking order, venue, momentum, or team strength.","featured":"2025-10-27","label":"arXiv","topic":"Asset Pricing & Factors","cites":3,"score":16,"scale":"shares"},{"title":"Forecast Disagreement & Risk Premia","url":"/papers/repec/eee-ecolet-v-247-y-2025-i-c-s0165176524006037/","summary":"Disagreement in macro forecasts raises risk premia: consumption disagreement hurts overall stock returns, while productivity disagreement particularly damages small, low-profit firms.","featured":"2025-10-27","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":5,"scale":"shares"},{"title":"Early Exercise and Put Risk Premia","url":"/papers/repec/inm-ormnsc-v-71-y-2025-i-2-p-1824-1845/","summary":"Accounting for optimal early exercise, American puts show less negative raw returns but more negative delta‑hedged returns than European puts, changing which option anomalies look profitable.","featured":"2025-10-27","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":4,"scale":"shares"},{"title":"Risk Factor Validation","url":"/papers/repec/spr-jecfin-v-43-y-2019-i-1-d-10-1007-s12197-018-9438-x/","summary":"The research disputes the Fama and French three factor model, stating that size and value mimicking factors should not be seen as systematic risk factors.","featured":"2025-10-24","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":30,"scale":"shares"},{"title":"Optimal Investment and Consumption in a Stochastic Factor Model","url":"/papers/arxiv/2509.09452/","summary":"The article discusses optimal investment and consumption in an incomplete stochastic factor model, offering a comprehensive characterization of the problem's well-posedness and an efficient numerical algorithm for computing the value function.","featured":"2025-09-13","label":"arXiv","topic":"Asset Pricing & Factors","cites":3,"score":5,"scale":"shares"},{"title":"Rethinking Beta: A Causal Take on CAPM","url":"/papers/arxiv/2509.05760/","summary":"A study suggests the Capital Asset Pricing Model should be viewed as associational, not causal, with beta reflecting market capture of underlying drivers, and risk management should focus on declared causal paths instead of fixed factors.","featured":"2025-09-13","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":14,"scale":"shares"},{"title":"Is attention truly all we need? An empirical study of asset pricing in pretrained RNN sparse and global attention models","url":"/papers/arxiv/2508.19006/","summary":"The study finds that pretrained RNN attention models can effectively derive returns and hedge risks in asset pricing, even during extreme market conditions like the COVID-19 pandemic.","featured":"2025-08-29","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":16,"scale":"shares"},{"title":"Dynamic Asset Pricing with {\\alpha}-MEU Model","url":"/papers/arxiv/2507.04093/","summary":"The study investigates a dynamic asset pricing problem, showing that an agent's perceived ambiguity or ambiguity-aversion can lower the risk-free rate and increase the stock price.","featured":"2025-07-10","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":9,"scale":"shares"},{"title":"Overparametrized models with posterior drift","url":"/papers/arxiv/2506.23619/","summary":"The research warns about the sensitivity of large linear machine learning models in predicting equity premiums, suggesting caution in their use.","featured":"2025-07-03","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":7,"scale":"shares"},{"title":"Common Task Framework","url":"/papers/ssrn/5242901/","summary":"The Common Task Framework (CTF) can enhance innovation, effort, and honesty in research, and could be used in financial economics to assess asset pricing models.","featured":"2025-06-25","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":246,"scale":"shares"},{"title":"FOMC Announcement Premiums","url":"/papers/ssrn/5237922/","summary":"Currency risk premiums fluctuate on U.S. FOMC announcement days, with currencies expecting a larger reduction in implied variance earning higher returns.","featured":"2025-06-25","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":213,"scale":"shares"},{"title":"Deep IV Factor Models","url":"/papers/ssrn/5283770/","summary":"The Deep Implied Volatility Factor Model, combining neural networks and linear regression, is proposed for estimating the daily Implied Volatility surface of individual stock options, improving performance around earnings announcements.","featured":"2025-06-11","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"AI Asset Pricing Impacts","url":"/papers/ssrn/5277572/","summary":"The article presents a model that examines the impact of AI on the economy, portfolio choices, and asset prices, suggesting that AI increases output growth and volatility and influences investor behavior.","featured":"2025-06-04","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"A FOMO-based Capital Asset Pricing Model","url":"/papers/ssrn/5276817/","summary":"The paper presents a Fear of Missing Out (FOMO) Capital Asset Pricing Model, suggesting that investors gain satisfaction from avoiding underperformance compared to their peers.","featured":"2025-06-04","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":2,"scale":"shares"},{"title":"Anomaly Persistence","url":"/papers/ssrn/5276723/","summary":"The article introduces a method for testing asset pricing anomalies, showing that multiple paths on the same dataset lead to high outcome correlations, significantly affecting inference.","featured":"2025-06-04","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Multiverse Asset Pricing Model","url":"/papers/ssrn/5265948/","summary":"The study critiques the Capital Asset Pricing Model for its free parameter problem and proposes a multiverse asset pricing model, which allows for multiple equilibria and is based on investment beliefs.","featured":"2025-06-04","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Asset Pricing with Reference-dependent Preferences","url":"/papers/ssrn/5269148/","summary":"The study suggests that asset prices can be influenced by sentiment-driven preferences, which may explain inconsistencies in stock returns and economic fundamentals.","featured":"2025-05-30","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"The asset pricing implications of dynamic asset supply in endowment economies","url":"/papers/ssrn/5265205/","summary":"The research shows that allowing the supply of financial assets to fluctuate over time can lead to persistent deviations in dividends.","featured":"2025-05-30","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"Quantile Predictions for Equity Premium using Penalized Quantile Regression with Consistent Variable Selection across Multiple Quantiles","url":"/papers/arxiv/2505.16019/","summary":"A new penalized quantile regression model for predicting equity premium outperforms other methods and provides insights into the relationship between predictors and excess return across different quantiles.","featured":"2025-05-30","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":22,"scale":"shares"},{"title":"Discount Factors Spillovers","url":"/papers/ssrn/5261076/","summary":"The article presents a framework for estimating the stochastic discount factor by combining firm-level signals, highlighting the importance of large, low-turnover firms in the information network.","featured":"2025-05-21","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Asset Prices and Wage Inertia","url":"/papers/ssrn/5261246/","summary":"The study finds that considering fluctuations in unemployment and new hires in a model of endogenous wage inertia and growth can deepen the economic impact of recessions and increase the fall in asset prices.","featured":"2025-05-21","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Factor Investing Lecture 8: A Forward Looking View of Factor Investing (Presentation Slides)","url":"/papers/ssrn/5261822/","summary":"The lecture notes discuss the challenges and opportunities of factor investing in the big data and machine learning era, stressing the need to incorporate economic theory to prevent overfitting.","featured":"2025-05-21","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"REIT Return Analysis","url":"/papers/ssrn/5250691/","summary":"The paper presents and analyzes six REIT return factors, demonstrating that these factors outperform general equity asset pricing factors and behave differently across economic conditions.","featured":"2025-05-14","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Model complexity and the performance of global versus regional models","url":"/papers/ssrn/5241880/","summary":"Complex algorithms in global models outperform regional models in cross-sectional asset pricing, contradicting previous studies favoring regional methods.","featured":"2025-05-07","label":"SSRN","topic":"Asset Pricing & Factors","cites":1,"score":5,"scale":"shares"},{"title":"Expected Returns and Stock Performance","url":"/papers/ssrn/5244033/","summary":"A few stocks significantly influence the performance of cross-sectional asset pricing anomalies, indicating that a large part of the returns may be due to mispricing.","featured":"2025-05-07","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Order Flows Impact Stock Prices","url":"/papers/ssrn/5238514/","summary":"External order flows can affect stock prices, with significant purchases leading to a 6.4% increase in the Fama-French 5-factor alpha for CSI 500 index stocks.","featured":"2025-05-07","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Asset Pricing in Pre-trained Transformer","url":"/papers/doi/10-5281-zenodo-15327831/","summary":"The paper introduces SERT, a new Transformer model for US large capital stock pricing, which performs better during extreme market fluctuations like the COVID-19 pandemic.","featured":"2025-05-07","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":25,"scale":"shares"},{"title":"Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks","url":"/papers/doi/10-5281-zenodo-15333718/","summary":"The research uses MLP models for asset pricing, finding them more effective in controlling risk, particularly during the COVID-19 period.","featured":"2025-05-07","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":16,"scale":"shares"},{"title":"Asset Pricing Models: Classical vs Demand","url":"/papers/ssrn/5232345/","summary":"Classical vs Demand: Both classical and demand system asset pricing models have flaws, but the latter better matches the shape of observed demand curves.","featured":"2025-04-30","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":4,"scale":"shares"},{"title":"US Tariff Policy: Chaos Order","url":"/papers/ssrn/5232092/","summary":"Chaos Order: The unpredictability of U.S. tariff policy under President Trump's second administration aligns with momentum-style investing and reinforcement learning, suggesting a dynamic and reactive policy process.","featured":"2025-04-30","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Entangled Markets Theory","url":"/papers/ssrn/5224847/","summary":"The Efficient Markets Hypothesis fails to consider the effect of poor investment decisions and asset interrelationships on asset prices.","featured":"2025-04-23","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Asset Pricing Covid-19 Deposit Glut","url":"/papers/ssrn/5224174/","summary":"The paper uses Liquidity Preference Theory to analyze the impact of Covid-related growth in household deposits, finding a significant increase in nonmonetary wealth for each additional unit of monetary wealth.","featured":"2025-04-23","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Estimating Equity Risk Premium in India: A Multi-Method Analysis of Historical, Implied, and Cross-Sectional Approaches","url":"/papers/ssrn/5217024/","summary":"A paper reveals a 6-10% variation in India's Equity Risk Premium (ERP) per 1% change in growth assumptions, highlighting the impact of volatile inflation on nominal risk premiums.","featured":"2025-04-16","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":4,"scale":"shares"},{"title":"Machine Learning in Empirical Asset Pricing","url":"/papers/ssrn/5212620/","summary":"The paper suggests a regime switching model to estimate beta and volatility, addressing traditional event study methodology's limitations during volatility shifts.","featured":"2025-04-16","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Rationally Turbulent Expectations Chapter 7: Risk Premia","url":"/papers/ssrn/5202486/","summary":"The book introduces a unified paradigm that views the capital market as a rational learning machine, with a focus on the equity risk premium puzzle.","featured":"2025-04-16","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":4,"scale":"shares"},{"title":"How Election Shocks Impact Markets: Evidence from Sectoral Stock Prices","url":"/papers/arxiv/2504.02731/","summary":"Research indicates U.S. presidential election cycles impact sectoral stock markets, with candidate preferences influencing asset prices in energy, defense, and clean energy sectors.","featured":"2025-04-09","label":"arXiv","topic":"Asset Pricing & Factors","cites":2,"score":15,"scale":"shares"},{"title":"Asset Pricing with Liabilities","url":"/papers/ssrn/5198446/","summary":"The article reviews the development of asset pricing theories, noting overlooked chances in understanding the fixed nature of liabilities.","featured":"2025-04-02","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Forward-Looking Variance Index","url":"/papers/ssrn/5197800/","summary":"The paper suggests a forward-looking index to measure market variance, indicating a positive variance risk premium that significantly forecasts the equity risk premium.","featured":"2025-04-02","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Machine Learning in Asset Pricing","url":"/papers/ssrn/5199395/","summary":"The paper investigates the use of machine learning for predicting U.S. stock returns, concluding that all predictors are powerful and ensemble methods are the most effective.","featured":"2025-04-02","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic Asset Pricing Theory for Life Contingent Risks","url":"/papers/arxiv/2503.21256/","summary":"The paper applies the Fundamental Theorem of Asset Pricing to value life contingent assets like life insurance and annuities, emphasizing the need for a non-arbitrage, complete market framework.","featured":"2025-04-02","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":16,"scale":"shares"},{"title":"Machine Learning Asset Pricing","url":"/papers/ssrn/5193994/","summary":"The article forecasts the prices of financial innovation-themed ETFs using machine learning, finding that ARIMA and Prophet models perform better than LSTM for shorter datasets.","featured":"2025-03-26","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"FamaMacBeth Regression with Higher-Order Factors","url":"/papers/ssrn/5181447/","summary":"The research suggests a forward selection method for estimating a high-dimensional stochastic discount factor model, outperforming traditional benchmarks and encompassing most factors.","featured":"2025-03-26","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":4,"scale":"shares"},{"title":"Market Risk Premium Variance","url":"/papers/ssrn/5181851/","summary":"A study shows that during recessions, both market risk premium and variance increase, but the risk premium is less reactive than conditional variance.","featured":"2025-03-26","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"CAPM Review","url":"/papers/ssrn/5185853/","summary":"The Capital Asset Pricing Model (CAPM) is being challenged, with alternative models suggested for emerging economies and smaller companies to enhance financial market valuation and risk investments.","featured":"2025-03-20","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Alaali Cost of Capital Model","url":"/papers/ssrn/5179477/","summary":"The ACCM offers a dynamic, multifactor approach to estimating capital costs, improving on traditional models.","featured":"2025-03-20","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Information imperfections in CRE pricing","url":"/papers/ssrn/5186511/","summary":"The paper examines methods for estimating the discount rate for an income approach to value, highlighting the usefulness of asset pricing models.","featured":"2025-03-20","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"PBubbles, Q-Bubbles, and Risk Premia","url":"/papers/ssrn/5152455/","summary":"A new model links two types of bubbles to an equity's risk premium, showing that both bubbles are significant and crucial in understanding equity risk premium.","featured":"2025-03-20","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":27,"scale":"shares"},{"title":"Disciplining Factor Models: The Role of Conditional Risk","url":"/papers/ssrn/5152019/","summary":"A new evaluation method shows that many factor models fail to consistently price their factors, except for the Fama-French 5-factor model.","featured":"2025-03-20","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":21,"scale":"shares"},{"title":"Seemingly Redundant Factors","url":"/papers/ssrn/5152029/","summary":"Spanned factors, previously considered redundant, are found to be significant in explaining equity risk premiums, challenging the prevailing view.","featured":"2025-03-20","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":20,"scale":"shares"},{"title":"Empirical Asset Pricing: Econometrics ML","url":"/papers/ssrn/5150205/","summary":"Econometrics ML: The paper reviews the shift from econometrics to machine learning in empirical asset pricing, suggesting a unified framework that combines machine learning while maintaining economic interpretability.","featured":"2025-03-05","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":11,"scale":"shares"},{"title":"Dynamic Factor Correlation Model","url":"/papers/arxiv/2503.01080/","summary":"A new model with a unique variation-free parameterization of factor loadings shows adaptability and scalability in both small and large asset return environments.","featured":"2025-03-05","label":"arXiv","topic":"Asset Pricing & Factors","cites":1,"score":11,"scale":"shares"},{"title":"Inter-trade Durations in Dynamics","url":"/papers/ssrn/5133531/","summary":"The research explores the impact of intertrade duration on short-term price dynamics, finding that longer trade durations decrease the chance of reversals and enhance momentum predictability.","featured":"2025-02-26","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":91,"scale":"shares"},{"title":"Behavioral Finance in Factor Investing","url":"/papers/ssrn/5137986/","summary":"The paper discusses how cognitive biases lead to systematic mispricing in financial markets and how these biases can be incorporated into asset pricing models.","featured":"2025-02-26","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":20,"scale":"shares"},{"title":"Crude Oil Market Risk Premium","url":"/papers/ssrn/5127570/","summary":"The Tail Risk Premium (TRP) in the crude oil market is a stronger predictor of future returns than the Variance Risk Premium (VRP), despite being smaller.","featured":"2025-02-19","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":83,"scale":"shares"},{"title":"FearBased Pricing","url":"/papers/ssrn/5127501/","summary":"The article introduces a new fear-based model for returns, arguing that it could have predicted most anomalies and factors in the past 50 years.","featured":"2025-02-19","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":244,"scale":"shares"},{"title":"The Cross-Section of Corporate Bond Returns","url":"/papers/ssrn/5130312/","summary":"A study of U.S. corporate bonds identifies four factors that provide strong return premiums after costs.","featured":"2025-02-19","label":"SSRN","topic":"Asset Pricing & Factors","cites":3,"score":66,"scale":"shares"},{"title":"New Momentum Strategy for Equity Prediction","url":"/papers/repec/wly-jforec-v-44-y-2025-i-2-p-424-435/","summary":"The new machine learning strategy, N-MDIS, has been introduced to enhance the accuracy of equity premium prediction, outperforming previous methods.","featured":"2025-02-19","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":19,"scale":"shares"},{"title":"Price Momentum in Indian Equities","url":"/papers/ssrn/5116091/","summary":"A study on the Indian stock market shows that a portfolio strategy based on price momentum is effective, with top-performing stocks continuing to excel and underperforming stocks continuing to lag.","featured":"2025-02-05","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":47,"scale":"shares"},{"title":"Do Chinese Retail and Institutional Investors Trade on Anomalies?","url":"/papers/ssrn/5112567/","summary":"The study shows that retail investors in China trade against anomaly prescriptions, while institutions trade in line with anomalies, influenced by lottery stock preference and return extrapolation.","featured":"2025-02-05","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":26,"scale":"shares"},{"title":"TimeVarying Fama-French Model","url":"/papers/repec/rfb-journl-v-16-y-2024-i-2-p-309-357/","summary":"The research identifies time-variable parameters in the Five-Factor Model, which could affect the model's central asset pricing mechanism.","featured":"2025-02-05","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":4,"scale":"shares"},{"title":"Anomalies and Market Return Predictability","url":"/papers/ssrn/5101577/","summary":"A link between cross-sectional anomalies and timeseries market return predictability in an international context has been found, leading to the creation of three new market efficiency measures.","featured":"2025-01-23","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Asset Pricing Model in Markets of Imperfect Information and Subjective Views","url":"/papers/arxiv/2501.11983/","summary":"The paper presents a market equilibrium formula that combines informational imperfections and investor beliefs about assets, deriving the market portfolio and examining the sensitivities of each asset's extra excess returns.","featured":"2025-01-23","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"Factor Model for Equity Risk","url":"/papers/repec/eee-jbfina-v-171-y-2025-i-c-s0378426624002875/","summary":"A new model using instrumented principal component analysis (IPCA) predicts country equity risk premia better than other models, especially in emerging markets.","featured":"2025-01-23","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":21,"scale":"shares"},{"title":"Risk Spillovers Among Markets","url":"/papers/repec/eee-finlet-v-71-y-2025-i-c-s1544612324013138/","summary":"The paper finds that asset price declines are more consistent in extreme market conditions, based on an exploration of dependencies among commodity futures, stock markets, and ESG bond markets.","featured":"2025-01-23","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":14,"scale":"shares"},{"title":"Detecting Asset Price Bubbles using Deep Learning","url":"/papers/repec/bla-mathfi-v-35-y-2025-i-1-p-74-110/","summary":"The article discusses a deep learning algorithm designed to detect financial asset bubbles using observed call option prices. This algorithm was tested on tech stock market data and under different models.","featured":"2025-01-23","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":15,"scale":"shares"},{"title":"Inflation's Impact on Risky Asset Prices","url":"/papers/ssrn/5094299/","summary":"A study using inflation swap prices shows that inflation sensitivity changes over time, with good inflation decreasing corporate credit spreads and increasing equity values, while bad inflation can have the reverse impact.","featured":"2025-01-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":7,"scale":"shares"},{"title":"Equity Risk Premium","url":"/papers/ssrn/5091837/","summary":"The article suggests a new method for predicting the equity risk premium using a deep learning combination forecast, which aggregates firm-level return predictions.","featured":"2025-01-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":15,"scale":"shares"},{"title":"Robust Haberman Linking vs. Invariance Alignment","url":"/papers/repec/gam-jstats-v-8-y-2025-i-1-p-3-d-1559039/","summary":"The article finds that robust Haberman linking performs better than invariance alignment for factor models when item intercepts are used, with varying results for different loss functions.","featured":"2025-01-08","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Limited Risk Transfer Between Investors","url":"/papers/ssrn/5074997/","summary":"The paper reveals that risk transfer among U.S. investors is minimal, challenging macrofinance models that forecast a larger risk transfer due to varying equity premiums.","featured":"2025-01-01","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":5,"scale":"shares"},{"title":"Factor Investing with Delays","url":"/papers/ssrn/5074221/","summary":"The study presents a new method for calculating transaction costs in the infrequently traded corporate bond market, emphasizing the significant impact of delay costs in illiquid securities.","featured":"2025-01-01","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Risk Premiums and Equilibrium","url":"/papers/ssrn/5076505/","summary":"The study confirms that risk premiums are directly influenced by risk, with risk prices backed by separate risk and risk premium structures.","featured":"2025-01-01","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Investor Types & Asset Price Comovement","url":"/papers/ssrn/5057505/","summary":"The study suggests that asset price comovement can significantly change if an investor type expands their investment universe due to an external shock.","featured":"2024-12-18","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"A multi-factor market-neutral investment strategy for New York Stock Exchange equities","url":"/papers/arxiv/2412.12350/","summary":"The report outlines a market-neutral investment strategy for NYSE equities, demonstrating superior performance with risk parity.","featured":"2024-12-18","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":4,"scale":"shares"},{"title":"Unveiling True Talent: The Soccer Factor Model for Skill Evaluation","url":"/papers/arxiv/2412.05911/","summary":"The Soccer Factor Model (SFM) is a new method for evaluating soccer players' performance independently from their team's influence, allowing for more accurate comparisons.","featured":"2024-12-12","label":"arXiv","topic":"Asset Pricing & Factors","cites":1,"score":19,"scale":"shares"},{"title":"Equity Premium Forecasting","url":"/papers/repec/taf-quantf-v-24-y-2024-i-10-p-1445-1461/","summary":"Machine learning methods, despite their strong forecasting abilities, often underperform in predicting the equity premium due to small datasets and low signal-to-noise ratios.","featured":"2024-12-12","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":28,"scale":"shares"},{"title":"Equilibrium Pricing and Return Predictability","url":"/papers/ssrn/5042622/","summary":"The article explains how the relationship between assets can predict returns through equilibrium pricing effects. It also discusses how the returns of certain assets can forecast the returns of investment assets, without requiring additional information or adjustments.","featured":"2024-12-04","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Asset Pricing in Borsa Istanbul","url":"/papers/repec/eme-jespps-jes-07-2023-0357/","summary":"A study on the Turkish Stock Exchange from 2009-2020 found that the Capital Asset Pricing Model (CAPM) better predicts average excess weekly returns than the Fama-French models.","featured":"2024-12-04","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":14,"scale":"shares"},{"title":"Design choices, machine learning, and the cross-section of stock returns","url":"/papers/ssrn/5031755/","summary":"The performance of machine learning models in predicting stock returns is greatly influenced by their design choices, with nonstandard errors in portfolio returns surpassing standard errors by 59%.","featured":"2024-11-27","label":"SSRN","topic":"Asset Pricing & Factors","cites":5,"score":12,"scale":"shares"},{"title":"Market Beta Benchmarking","url":"/papers/ssrn/5013093/","summary":"The article introduces a new method for comparing market beta estimates to unobserved true betas, applicable to any beta estimate and requiring minimal assumptions about the true asset pricing model.","featured":"2024-11-13","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":5,"scale":"shares"},{"title":"Financial Response to COVID-19","url":"/papers/ssrn/5012994/","summary":"The piece discusses the initial reaction of financial markets to the COVID-19 crisis, emphasizing the role of underestimated risks and delayed information in the drastic drop in asset prices.","featured":"2024-11-13","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":5,"scale":"shares"},{"title":"LongRun Disaster Risk Models","url":"/papers/ssrn/5013573/","summary":"The article reviews literature on long-term risk and rare disaster risk models in asset pricing, introducing new methods to address criticisms and explain the influence of climate change on asset prices.","featured":"2024-11-13","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"The relationship between general equilibrium models with infinitely-lived agents and overlapping generations models, and some applications","url":"/papers/arxiv/2411.07674/","summary":"The paper establishes that a two-cycle equilibrium in a model with infinitely-lived agents can also exist in an overlapping generations (OLG) model, indicating that both models can experience equilibrium indeterminacy and rational asset price bubbles.","featured":"2024-11-13","label":"arXiv","topic":"Asset Pricing & Factors","cites":1,"score":2,"scale":"shares"},{"title":"Asset Pricing Uncertainty","url":"/papers/repec/eee-empfin-v-78-y-2024-i-c-s0927539824000367/","summary":"A machine learning-constructed economic uncertainty index effectively predicted stock market returns, especially during high uncertainty and sentiment periods.","featured":"2024-11-13","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":18,"scale":"shares"},{"title":"Investment Asset Pricing","url":"/papers/ssrn/5008792/","summary":"Research indicates that household consumption surplus and firms' investment to capital ratio can forecast stock and investment returns in a production economy, supporting the investment-based model.","featured":"2024-11-06","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Climate Salience and Green Stock Demand","url":"/papers/ssrn/5008435/","summary":"Asset managers increase their demand for green stocks after significant climate events, indicating their role in converting environmental concerns into asset prices.","featured":"2024-11-06","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":4,"scale":"shares"},{"title":"September 2024 Update on the Data Library: Fama-French Factors, Momentum, and Low-Risk Factors for the Indian Market","url":"/papers/ssrn/5008269/","summary":"The expansion and updated classification of firms in the Indian equity market have little significant impact on factor returns, affirming the reliability of the Data Library FamaFrench Factors Momentum and LowRisk Factors.","featured":"2024-11-06","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"IFCISA: Financial Conditions Index for South America","url":"/papers/repec/eee-riibaf-v-72-y-2024-i-pa-s0275531924003003/","summary":"Financial Conditions Index for South America: An International Financial Conditions Index for South American economies (IFCI-SA) has been proposed to track financial conditions and assess the impact of global events, incorporating standard variables, sovereign debt risk premia, and regional commodity prices.","featured":"2024-10-31","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":10,"scale":"shares"},{"title":"Euler Equation Testing with Stock Market Data","url":"/papers/ssrn/4992945/","summary":"A study using stock market data found a pattern of failure among different groups of listed firms, significantly linked to firm characteristics associated with well-known stock anomalies.","featured":"2024-10-23","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Fallacies in CAPM Intuition","url":"/papers/ssrn/4990174/","summary":"The article argues that firm-specific risk significantly impacts beta and the Market Risk Premium (MRP), contradicting the standard intuition for the CAPM.","featured":"2024-10-23","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Linear Factor Models in U.K. Stock Returns","url":"/papers/repec/kap-rqfnac-v-63-y-2024-i-3-d-10-1007-s11156-024-01286-0/","summary":"A study of U.K. stock returns found that all multifactor models are inefficient, with the eight-factor model of Chib and Zeng performing best.","featured":"2024-10-17","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":12,"scale":"shares"},{"title":"FourFactor Model Based on Factor Momentum","url":"/papers/repec/eee-pacfin-v-87-y-2024-i-c-s0927538x24002634/","summary":"A new four-factor model based on momentum effect in China outperforms traditional models, explaining stock, industry, and regional momentum.","featured":"2024-10-17","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":11,"scale":"shares"},{"title":"Shades of Momentum: Alternative Momentum Metrics and their Dissipation in Indian Equities","url":"/papers/ssrn/4977717/","summary":"The study finds that in the Indian equity market, volatility-adjusted and information discreteness momentum strategies deliver higher risk-adjusted returns.","featured":"2024-10-09","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":4,"scale":"shares"},{"title":"Machine Learning Anomalies","url":"/papers/ssrn/4972254/","summary":"Research indicates that return volatility and liquidity volatility, rather than momentum variables, are crucial for machine learning portfolio performance, with fundamental variables also being important.","featured":"2024-10-03","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Factor Risk Premia","url":"/papers/ssrn/4950594/","summary":"The research models the dynamics of stochastic discount factors, attributing high volatility and conditional heteroskedasticity to factor momentum, macro variables, and Bayesian learning.","featured":"2024-09-10","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":6,"scale":"shares"},{"title":"Real Estate Exposure Analysis","url":"/papers/ssrn/4947546/","summary":"Research shows both listed and unlisted real estate assets can protect against inflation, with listed real estate more exposed to short-term risk premium shocks.","featured":"2024-09-10","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"NUMOSIM: A Synthetic Mobility Dataset with Anomaly Detection Benchmarks","url":"/papers/arxiv/2409.03024/","summary":"A Synthetic Mobility Dataset: The paper presents NUMOSIM, a synthetic mobility dataset for testing anomaly detection techniques, simulating realistic mobility scenarios and anomalies to improve geospatial mobility analysis.","featured":"2024-09-10","label":"Machine learning","topic":"Asset Pricing & Factors","cites":24,"score":10,"scale":"shares"},{"title":"Fundamental Properties of Linear Factor Models","url":"/papers/arxiv/2409.02521/","summary":"The article examines conditional linear factor models in asset pricing. It explores the relationships and characteristics of returns and factors using conditional means and covariances. This research lays the groundwork for defining and estimating these models.","featured":"2024-09-10","label":"arXiv","topic":"Asset Pricing & Factors","cites":1,"score":3,"scale":"shares"},{"title":"Anomaly Detection in Power Quality Data","url":"/papers/ssrn/4944761/","summary":"An evaluation index for anomaly detection in power quality data proves effective and sensitive to big data attributes and anomaly types.","featured":"2024-09-05","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Yields vs. Equity Premium","url":"/papers/ssrn/4946768/","summary":"The stock market's reaction to monetary policy surprises is primarily due to changes in the default-free term structure of yields, not equity premium changes, as per a new method using dividend futures prices.","featured":"2024-09-05","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Temporal Knowledge Distillation in Finance Services","url":"/papers/ssrn/4941375/","summary":"The article highlights the difficulties in detecting anomalies in the financial service industry, especially in fraud detection and cybersecurity.","featured":"2024-09-05","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Production-Based Asset Pricing with Sensitivity Function","url":"/papers/ssrn/4943342/","summary":"The article introduces a new equilibrium model with a unique habit sensitivity function and nonconvex adjustment costs, explaining aggregate and individual asset prices and investment rates through significant volatility in marginal utility, and provides computational benefits for expected returns considering aggregate risks.","featured":"2024-09-05","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Linear Factor Model Properties","url":"/papers/ssrn/4933856/","summary":"The study of conditional linear factor models in asset pricing shows that the efficient portfolio of an unbalanced panel can be represented by low-dimensional factor portfolios, focusing on conditional means and covariances.","featured":"2024-08-28","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":7,"scale":"shares"},{"title":"Asset Prices and Tax Uncertainty","url":"/papers/ssrn/4933467/","summary":"The research shows that uncertain tax policies, imperfect intergenerational risk sharing, and recursive preferences can lead to significant equity premiums, creating endogenous aggregate risk.","featured":"2024-08-28","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"An Investigation of Multi-factor Asset Pricing Models in the UK","url":"/papers/ssrn/4933529/","summary":"The study compares the CAPM FamaFrench 5 factor and Hou et al. 2015 qfactor model in the UK, concluding that the qfactor model is more effective.","featured":"2024-08-28","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":5,"scale":"shares"},{"title":"Predicting Asset Prices with Inflation","url":"/papers/ssrn/4925404/","summary":"The research develops a model using inflation and central bank interest rates to predict US consumption growth and explain stock and bond market characteristics.","featured":"2024-08-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":10,"scale":"shares"},{"title":"Bonding with Style Investing: Value and Momentum in Corporate Bonds","url":"/papers/ssrn/4924945/","summary":"Implementing smart beta strategies to corporate bonds can boost returns and diversify portfolios, with value and momentum strategies demonstrating significant alpha in U.S. investment-grade and high-yield bonds.","featured":"2024-08-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":2,"scale":"shares"},{"title":"Is There Evidence for Momentum and Mean Reversion in Asset Class Returns?","url":"/papers/ssrn/4922716/","summary":"The note introduces a straightforward measure of momentum and mean reversion effects in asset class returns, indicating that fixed income assets exhibit momentum effects while equities display short term momentum and long term mean reversion.","featured":"2024-08-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":2,"scale":"shares"},{"title":"Search and Prices","url":"/papers/ssrn/4925143/","summary":"A new peer momentum strategy, based on firms co-searched by investors on the SEC EDGAR server, yields an annualized return alpha of 17, outperforming the shared-analyst peer momentum.","featured":"2024-08-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Private Debt Investment Strategies","url":"/papers/repec/taf-ufajxx-v-78-y-2022-i-3-p-94-114/","summary":"The article discusses the advantages of systematic investment strategies in syndicated leveraged loans, highlighting the success of short-term momentum and valuation styles.","featured":"2024-08-15","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":6,"scale":"shares"},{"title":"Identifying proxies for risk-free assets: Evidence from the zero-beta Capital Asset Pricing Model","url":"/papers/ssrn/4884080/","summary":"Research indicates that gold, treasury bills, and interbank rates can act as risk-free assets in various countries, but no such asset exists universally for the UK, US, China, Japan, and India.","featured":"2024-07-10","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":2,"scale":"shares"},{"title":"Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series","url":"/papers/doi/10-1016-j-jocs-2024-102348/","summary":"The research proposes a method for estimating high-dimensional covariance matrices in latent factor models by clustering residual series, focusing on the idiosyncratic component.","featured":"2024-07-10","label":"arXiv","topic":"Asset Pricing & Factors","cites":3,"score":3,"scale":"shares"},{"title":"When can weak latent factors be statistically inferred?","url":"/papers/arxiv/2407.03616/","summary":"The article introduces a new theory for principal component analysis (PCA) under the weak factor model. This theory accounts for cross-sectional dependent components and provides finite-sample characterizations for estimation error and statistical inference uncertainty level, improving upon previous research.","featured":"2024-07-10","label":"arXiv","topic":"Asset Pricing & Factors","cites":7,"score":13,"scale":"shares"},{"title":"Anomalies Link","url":"/papers/repec/bla-jfinan-v-77-y-2022-i-1-p-639-681/","summary":"The research shows that the returns of portfolios based on long-short anomalies can predict overall market returns, due to the persistence of overpricing correction and asymmetric limits of arbitrage.","featured":"2024-07-10","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":116,"scale":"shares"},{"title":"Factor Timing China","url":"/papers/repec/bla-acctfi-v-63-y-2023-i-1-p-485-505/","summary":"The paper proposes a factor timing strategy using deep learning and 146 characteristic-based factors, which performs better than other portfolios, especially in the Chinese stock market.","featured":"2024-07-10","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":52,"scale":"shares"},{"title":"Uncertainty Factor Models","url":"/papers/repec/bla-jfinan-v-78-y-2023-i-3-p-1593-1646/","summary":"The paper introduces a framework for handling uncertainty in factor models, demonstrating that integrated models perform well out-of-sample and that model uncertainty increases perceived risk in stocks.","featured":"2024-07-10","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":13,"scale":"shares"},{"title":"Markowitz and CAPM Limitations","url":"/papers/ssrn/4879521/","summary":"The article questions the validity of the MeanVariance (MV) model and the Capital Asset Pricing Model (CAPM) due to market portfolio inefficiency and the failure of asset expected returns in beta under realistic constraints.","featured":"2024-07-03","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Cross-Bond Momentum Spillovers","url":"/papers/ssrn/4880869/","summary":"The study finds that bond peer momentums, particularly those with shared analyst linkage, can predict future bond returns in the corporate bond market. This strategy can yield significant profits, especially for bonds with less investor attention and higher arbitrage costs.","featured":"2024-07-03","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"Asset Pricing Factors in Valuation","url":"/papers/repec/eee-riibaf-v-70-y-2024-i-pb-s0275531924001594/","summary":"The research indicates that using pricing factor variables in the corporate valuation process with an eight-factor model reduces estimation errors and improves precision, contributing to the intersection of empirical asset pricing and corporate finance.","featured":"2024-07-03","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":21,"scale":"shares"},{"title":"Impact of Pessimism on Equity Premiums","url":"/papers/ssrn/4856978/","summary":"The study explores how investors' negative views on pollution-related disasters can result in increased equity premiums, even when the rate of substitution over time is marginally less than 1.","featured":"2024-06-12","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Currency Risk Premiums Study","url":"/papers/ssrn/4849102/","summary":"A currency cross-section study found that only a small fraction of nontradable factors, mostly related to volatility, uncertainty, and liquidity, have a significant risk premium, not macro variables.","featured":"2024-06-05","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Diversification: Not a Free Lunch","url":"/papers/repec/gam-jjrfmx-v-17-y-2024-i-6-p-225-d-1402811/","summary":"Not a Free Lunch: A study challenges the belief that diversification is risk-free, stating it can reduce returns if expected returns are estimated, based on historical returns of the S&P500 constituents.","featured":"2024-06-05","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":17,"scale":"shares"},{"title":"Multi-Factor Model","url":"/papers/ssrn/4840857/","summary":"The piece introduces a new neural network-based asset pricing model that includes time-varying volatility dynamics and offers improved predictive accuracy and risk-adjusted returns.","featured":"2024-05-28","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":8,"scale":"shares"},{"title":"Rethinking the Size Effect and the Risk-Free Rate in Appraisal Proceedings","url":"/papers/ssrn/4834556/","summary":"The capital asset pricing model (CAPM) may not accurately predict the returns of small public companies, suggesting a negative risk-free rate may be more accurate.","featured":"2024-05-22","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":2,"scale":"shares"},{"title":"Equity Premium Events","url":"/papers/ssrn/4832271/","summary":"The research identifies equity premium events using daily S&P 500 option expirations, finding that economic, political events, and macroeconomic releases cause the largest abnormal equity premia.","featured":"2024-05-22","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Liquid Factor Models","url":"/papers/ssrn/4825468/","summary":"The author recommends using liquid instruments in factor models, arguing that they are more transparent, tradeable, and can surpass other factors while lowering hedging expenses.","featured":"2024-05-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":7,"scale":"shares"},{"title":"Network Beliefs Impact Prices","url":"/papers/ssrn/4821186/","summary":"A new model suggests that asset prices are influenced by network properties and investor performance, which can explain price bubbles and fluctuations.","featured":"2024-05-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":167,"scale":"shares"},{"title":"Macroeconomic Announcement and Machine Learning for Asset Pricing","url":"/papers/ssrn/4824740/","summary":"Machine learning has improved the prediction of stock returns, with a model that combines data from different trading days proving more accurate than others.","featured":"2024-05-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":5,"scale":"shares"},{"title":"Asset Pricing","url":"/papers/ssrn/4817094/","summary":"The research develops a new uncertainty index using machine learning, showing its strong predictability of stock market returns, especially during periods of high uncertainty and sentiment.","featured":"2024-05-08","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Anomalies and Market Returns","url":"/papers/repec/oup-revfin-v-28-y-2024-i-1-p-1-44/","summary":"A study using machine learning methods revealed that equity anomalies do not predict overall market returns, questioning the belief that anomalies collectively provide useful information for forecasting market risk premia.","featured":"2024-05-08","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":11,"scale":"shares"},{"title":"The Price of Downside and Upside Correlation Risk: cross-sectional evidence","url":"/papers/ssrn/4811802/","summary":"New metrics of downside and upside aggregate implied correlation from options reveal that downside correlation risk has a significant negative premium, suggesting investors require a hedge against correlation spikes.","featured":"2024-05-01","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"Growth, Value, and Prices","url":"/papers/ssrn/4810330/","summary":"The article suggests three linked solutions to the absence of a comprehensive asset pricing theory, including a state-space representation, explanatory gain decomposition, and a shift in research from asset returns to asset prices.","featured":"2024-05-01","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"National Housing Market Bubble in the United States","url":"/papers/repec/cup-macdyn-v-27-y-2023-i-8-p-2191-2228-7/","summary":"The study uses a dynamic factor model to examine the role of the national factor in US house price fluctuations, hinting at a possible national bubble since 2014.","featured":"2024-05-01","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":5,"scale":"shares"},{"title":"An Asymmetric Capital Asset Pricing Model","url":"/papers/arxiv/2404.14137/","summary":"The article presents a new capital asset pricing model that takes into account the different risks of falling and rising prices, offering a more accurate measure of market risk.","featured":"2024-04-24","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":4,"scale":"shares"},{"title":"Real Estate Prices and Global Shock","url":"/papers/repec/zbw-cfswop-285368/","summary":"The study finds that the 2020 pandemic had only temporary negative effects on German real estate rents and increased asset prices, using causal machine learning.","featured":"2024-04-24","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":8,"scale":"shares"},{"title":"Risk Premia in the Commodity Market","url":"/papers/ssrn/4796343/","summary":"Machine learning methodologies reveal that momentum factors from equity, bonds, and currencies are priced into commodity returns, indicating a connection between commodity and other financial markets.","featured":"2024-04-17","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"Owner's Earnings, Cash-based Operating Profits, and Capital Expenditures in the Cross Section of Stock Returns","url":"/papers/ssrn/4794183/","summary":"Stocks with high owner's earnings tend to predict average stock returns and outperform other factors, providing significant alpha over the FamaFrench 6factor and q5 factor models.","featured":"2024-04-17","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":14,"scale":"shares"},{"title":"Cross-Momentum in Financial Markets","url":"/papers/ssrn/4793814/","summary":"A study shows that equity futures and currency portfolios sorted by cross-momentum perform better than those sorted by normal momentum, especially in commodity exporting countries.","featured":"2024-04-17","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Memory-Enhanced Momentum in Futures","url":"/papers/repec/taf-eurjfi-v-30-y-2024-i-8-p-773-802/","summary":"The research suggests a memory-enhanced momentum strategy for commodity futures markets, which surpasses traditional momentum in reward and risk, independent of the overall commodity market movement.","featured":"2024-04-17","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":12,"scale":"shares"},{"title":"Factorial Models in Economic Analysis","url":"/papers/repec/alq-rufejo-rfej-2022-11-17-38/","summary":"The article proposes new methods for studying time series and building factor models in response to changing trends in macroeconomic and sectoral modelling.","featured":"2024-04-17","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":9,"scale":"shares"},{"title":"Asset Pricing with Cognitive Biases and Deep Learning","url":"/papers/ssrn/4786831/","summary":"A deep learning model shows cognitive biases can explain the equity premium puzzle and excess volatility puzzle in asset pricing.","featured":"2024-04-10","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":6,"scale":"shares"},{"title":"US House Price Dynamics","url":"/papers/repec/bla-reesec-v-52-y-2024-i-2-p-434-485/","summary":"The article presents a new estimator that includes cross-sectional heterogeneity and dependency in machine learning, greatly enhancing the prediction of house prices and detection of housing market bubbles.","featured":"2024-04-10","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":8,"scale":"shares"},{"title":"Equity Premium Forecasting","url":"/papers/ssrn/4781195/","summary":"Machine learning techniques, while effective in predicting equity premium within sample, struggle to beat the historical average in out-of-sample predictions.","featured":"2024-04-03","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Equity Premium Prediction","url":"/papers/ssrn/4774051/","summary":"The research indicates that higher equity market returns occur when the VIX exceeds a certain level and are lower following high market sentiment, with consistent results across different return periods and evaluations.","featured":"2024-03-27","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Leading Stocks and the Stock Market Expected Returns","url":"/papers/ssrn/4768908/","summary":"The study uses machine learning to identify leading stocks, demonstrating that stocks with negative leaders can predict future market returns.","featured":"2024-03-27","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":4,"scale":"shares"},{"title":"Tensor PCA","url":"/papers/ssrn/4766865/","summary":"The article introduces a new estimation algorithm for high-dimensional panel datasets, including the asymptotic distribution theory and a test for the number of factors in a tensor factor model.","featured":"2024-03-27","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Informational Efficiency and Asset Prices in Large Markets","url":"/papers/ssrn/4771775/","summary":"The study suggests that the amount of information disclosed in an economy with large trading data depends on the degree of information overlap across data sources, with derivative securities trades providing significant information about macroeconomic shocks.","featured":"2024-03-27","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"Financial Anomalies","url":"/papers/ssrn/4770243/","summary":"The study analyzes irregularities in daily returns of UK companies on the London Stock Exchange from 1990-2022 using volatility models.","featured":"2024-03-27","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Blades of Carry: The Big Short","url":"/papers/ssrn/4752712/","summary":"A new predictor, MCOR, uses a moderate cross-section of currency returns and covariates correlation to robustly predict carry trade returns, introducing a new currency investment strategy called MaC strategy.","featured":"2024-03-13","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"Macro Strikes Back: Term Structure of Risk Premia and Market Segmentation","url":"/papers/ssrn/4752696/","summary":"A unified framework reveals that most macroeconomic factors have increasing unconditional term structures with large risk premia at business cycle horizons.","featured":"2024-03-13","label":"SSRN","topic":"Asset Pricing & Factors","cites":3,"score":8,"scale":"shares"},{"title":"Synthetic Beta with Monte Carlo","url":"/papers/ssrn/4754578/","summary":"A new method for approximating the beta coefficient in investment projects is proposed, using a simulation model of expected returns to determine the project's market beta when the risk-return relationship is unobservable.","featured":"2024-03-13","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Growth and Value Price Representation","url":"/papers/ssrn/4754794/","summary":"The paper suggests three linked solutions to the absence of a comprehensive asset pricing theory: state-space representation, explanatory gain decomposition approach, and shifting research focus from asset returns to asset prices.","featured":"2024-03-13","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"In Search of the True Greenium","url":"/papers/ssrn/4744608/","summary":"The study introduces a robust green score and expected returns to calculate the greenium, the expected return of green securities compared to brown, which is found to be more negative in greener countries and over time.","featured":"2024-03-06","label":"SSRN","topic":"Asset Pricing & Factors","cites":20,"score":25,"scale":"shares"},{"title":"Commodity Futures Characteristics and Asset Pricing Models","url":"/papers/ssrn/4746258/","summary":"The article shows that a latent-factor model using the Instrumented Principal Component Analysis methodology surpasses existing models in explaining variations in commodity futures returns, with momentum, expected shortfall, and idiosyncratic volatility as key factors.","featured":"2024-03-06","label":"SSRN","topic":"Asset Pricing & Factors","cites":1,"score":3,"scale":"shares"},{"title":"Asset Pricing Frictions","url":"/papers/ssrn/4742370/","summary":"The notes detail a Big Data Asset Pricing course, covering asset pricing basics, transaction costs, market liquidity risk, and machine learning.","featured":"2024-03-06","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Robust Testing of Risk Premia","url":"/papers/repec/oup-jfinec-v-21-y-2023-i-2-p-263-297/","summary":"The article introduces new tests for risk premia in linear factor models that are robust to small sample sizes and weak identification of risk premia, and revisits two empirical applications to show differences from traditional tests.","featured":"2024-03-06","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":11,"scale":"shares"},{"title":"No Sparsity in Asset Pricing: Evidence from a Generic Statistical Test","url":"/papers/ssrn/4730259/","summary":"The paper introduces a statistical test to identify sparsity in high-dimensional factor models, concluding that less than ten factors can explain stock returns and dense models perform better than sparse ones.","featured":"2024-02-21","label":"SSRN","topic":"Asset Pricing & Factors","cites":3,"score":4,"scale":"shares"},{"title":"Factor Models Robustness","url":"/papers/repec/wsi-qjfxxx-v-13-y-2023-i-04-n-s2010139223500118/","summary":"Research shows that the robustness of factor models changes with factor formation breakpoints, with extreme sorts yielding higher returns and centered breakpoints resulting in less risk.","featured":"2024-02-21","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":8,"scale":"shares"},{"title":"Polynomial Factor Models: Nonlinear Relationships","url":"/papers/ssrn/4722565/","summary":"Nonlinear Relationships: Polynomial Factor Models (PFM) provide a novel method for handling high-dimensional panel data, allowing for the consistent estimation of factor interactions and loadings by capturing nonlinear relationships.","featured":"2024-02-14","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Assaying Anomalies in Equity Returns","url":"/papers/ssrn/4723712/","summary":"A new protocol and web application are proposed for testing potential predictors of equity returns, providing thorough analysis and identifying common problems in testing equity strategies.","featured":"2024-02-14","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":970,"scale":"shares"},{"title":"Risk Premium with Interpretable Machine Learning","url":"/papers/ssrn/4714819/","summary":"The research successfully incorporates the neural additive model into asset pricing, improving economic gains, prediction performance, and understanding of economic insight.","featured":"2024-02-07","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"European Asset Pricing with Generative AI","url":"/papers/ssrn/4715376/","summary":"The study questions traditional factor models in the European stock market, proposing an AI asset pricing model that considers a wider range of factors, indicating a more intricate risk-sharing mechanism.","featured":"2024-02-07","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Interval Estimation: Uncertain Models","url":"/papers/ssrn/4712825/","summary":"Uncertain Models: The paper introduces a new method to build interval estimators that account for misspecification uncertainty, showcasing its use in reevaluating the Capital Asset Pricing Model.","featured":"2024-02-07","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"ML and Expected Returns: Predictive Power","url":"/papers/ssrn/4713982/","summary":"Predictive Power: Machine learning models using option-based estimators are more effective than traditional models in predicting stock returns, especially for stocks with liquid options.","featured":"2024-02-07","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Correlated Demand Shocks and Asset Pricing","url":"/papers/ssrn/4705500/","summary":"The correlated demand shocks from institutional investors can increase risk in asset pricing, with stocks exposed to higher correlated demand showing higher market betas and risk premiums.","featured":"2024-01-30","label":"SSRN","topic":"Asset Pricing & Factors","cites":1,"score":3,"scale":"shares"},{"title":"Asset Pricing Primer for Big Data","url":"/papers/ssrn/4707383/","summary":"The lecture notes discuss Big Data Asset Pricing, covering topics like state prices, beta pricing, market efficiency, and factor models.","featured":"2024-01-30","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Evidence and Profitable Strategies in Linear Asset Pricing Models","url":"/papers/ssrn/4704766/","summary":"The author suggests a new measure of mispricing in asset pricing models, providing evidence of mispricing in U.S. equity data and proposing a profitable investment strategy based on this mispricing.","featured":"2024-01-30","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"The Expected Returns on Machine-Learning Strategies","url":"/papers/ssrn/4702406/","summary":"Despite high turnover rates and the selection of hard-to-arbitrage stocks, machine learning strategies can predict profitable returns that common risk factors cannot explain, according to a study.","featured":"2024-01-23","label":"SSRN","topic":"Asset Pricing & Factors","cites":2,"score":4,"scale":"shares"},{"title":"Equity Premium in Efficient Markets","url":"/papers/arxiv/2401.09265/","summary":"The study offers a new solution to the equity premium puzzle, arguing that risk aversion is context-specific, resolving the puzzle in efficient markets.","featured":"2024-01-23","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":6,"scale":"shares"},{"title":"New ESG Rating Drivers in European Stocks","url":"/papers/repec/bla-jfnres-v-46-y-2023-i-s1-p-s133-s162/","summary":"Short-term ESG momentum significantly affects stock returns and reduces anticipated capital costs, suggesting it could be a new systematic risk factor.","featured":"2024-01-23","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":17,"scale":"shares"},{"title":"Style Switching and Asset Pricing","url":"/papers/ssrn/4686997/","summary":"A paper suggests that exploiting predictability in style demand can yield annualized returns of 12% from both reversals and momentum, according to an examination of return autocorrelations.","featured":"2024-01-09","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"Economic Uncertainty & the Beta Anomaly","url":"/papers/ssrn/4684356/","summary":"The beta-alpha anomaly only occurs during times of low economic uncertainty, with retail investors and active mutual funds more prone to pursue high-beta securities.","featured":"2024-01-09","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Asset Growth in Pricing Models","url":"/papers/repec/eee-jfinec-v-151-y-2024-i-c-s0304405x23001861/","summary":"The effectiveness of new factor models is determined by the construction of their investment factor, with factors based on inventory growth and accounts receivable holding most of the pricing information.","featured":"2024-01-09","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":16,"scale":"shares"},{"title":"Exploratory Control with Tsallis Entropy for Latent Factor Models","url":"/papers/arxiv/2211.07622/","summary":"The research uses Tsallis Entropy in models with latent factors to optimally control and explore the state space, proving that the optimal state distribution is q-Gaussian, which can be used in creating robust statistical arbitrage trading strategies.","featured":"2024-01-03","label":"arXiv","topic":"Asset Pricing & Factors","cites":7,"score":53,"scale":"shares"},{"title":"Empirical Asset Pricing Using Explainable Artificial Intelligence","url":"/papers/ssrn/4680571/","summary":"The paper demonstrates the use of explainable artificial intelligence in empirical asset pricing, showing enhanced predictive power and investment performance when incorporating insights from explainable AI into model refinement.","featured":"2024-01-03","label":"SSRN","topic":"Asset Pricing & Factors","cites":3,"score":2,"scale":"shares"},{"title":"A Capital Asset Pricing Model with Idiosyncratic Tail Risk: Comovement of Momentum and Low Risk Anomalies","url":"/papers/ssrn/4680248/","summary":"Momentum and Low Risk Anomalies: The new model expands the traditional Capital Asset Pricing Model (CAPM) by factoring in idiosyncratic tail risk, explaining momentum in stock returns and low risk anomalies.","featured":"2024-01-03","label":"SSRN","topic":"Asset Pricing & Factors","cites":1,"score":3,"scale":"shares"},{"title":"Factor Investing: Market Implications","url":"/papers/ssrn/4679940/","summary":"Market Implications: Financial innovations like Exchange-Traded Funds and smart beta products, modeled as composite securities, simplify trading for investors and attract more factor investors.","featured":"2024-01-03","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Cash Flow Beliefs in Asset Pricing","url":"/papers/ssrn/4679364/","summary":"A study finds that investors form separate beliefs on cash flow level and growth, explaining half of the anomaly portfolios' deviation from the CAPM.","featured":"2024-01-03","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Investors' Risk and Return Expectations","url":"/papers/ssrn/4668280/","summary":"The study analyzes risk and return expectations on 19 asset classes from 1987 to 2022, highlighting a strong risk-return tradeoff and the predictive power of expected returns.","featured":"2023-12-20","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":609,"scale":"shares"},{"title":"Unifying Economics and Finance: Solving Equity Premium Puzzle","url":"/papers/ssrn/4668139/","summary":"Solving Equity Premium Puzzle: The issue of a high equity premium and a low risk-free rate, known as the equity risk-premium and volatility puzzle, remains unsolved as current economic models fail to provide a consistent explanation.","featured":"2023-12-20","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Evolutionary Dynamics of Investors Expectations and Market Price Movement","url":"/papers/arxiv/1912.11216/","summary":"A study introduces a model for predicting market asset prices based on the correlation between investors' expectations and market price movement.","featured":"2023-12-20","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":22,"scale":"shares"},{"title":"Asset Pricing - Deep Structural Model","url":"/papers/ssrn/4635478/","summary":"The paper introduces a new modelling framework using machine learning to estimate structural model parameters, showing its superior predictive power and its ability to offer insights into systematic risk compensation and firm leverage.","featured":"2023-11-29","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Does Peer-Reviewed Research Help Predict Stock Returns?","url":"/papers/arxiv/2212.10317/","summary":"The research suggests that the predictability of cross-sectional return predictors decreases by half in post-sample scenarios, indicating that theory doesn't improve prediction and peer-review often misinterprets mispricing as risk.","featured":"2023-11-29","label":"arXiv","topic":"Asset Pricing & Factors","cites":5,"score":48,"scale":"shares"},{"title":"The Double-edged Sword of Data Mining: Implications on Asset Pricing and Information Efficiency","url":"/papers/ssrn/4633293/","summary":"The study challenges the belief that data mining always improves price efficiency, suggesting it can actually reduce price informativeness due to complexity costs and diminishing data efficacy returns.","featured":"2023-11-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":2,"scale":"shares"},{"title":"Chinese Consumption Shocks and U.S. equity returns","url":"/papers/ssrn/4629366/","summary":"China's consumption risk significantly influences U.S. equity returns, with a two-factor model explaining 40% of the variation.","featured":"2023-11-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":4,"scale":"shares"},{"title":"Asset Returns: Auto Debiased ML","url":"/papers/ssrn/4632395/","summary":"Auto Debiased ML: A new machine learning method has been developed to identify risk factors in asset pricing, performing better than traditional methods by eliminating biased estimation and overfitting.","featured":"2023-11-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Machine Learning and the Cross-Section of Emerging Market Corporate Bond Returns","url":"/papers/ssrn/4632924/","summary":"Machine learning models considering nonlinearities and interactions offer better predictions of corporate bond behavior in emerging markets with high transaction costs, with key predictors tied to low-risk macro and momentum factors.","featured":"2023-11-15","label":"SSRN","topic":"Asset Pricing & Factors","cites":1,"score":2,"scale":"shares"},{"title":"Interactions in Asset Pricing: Predictors & Returns","url":"/papers/ssrn/4624629/","summary":"Predictors & Returns: The research suggests that future stock returns can be predicted using machine learning models that consider characteristics and macroeconomic variables, resulting in portfolios that perform better than benchmarks.","featured":"2023-11-08","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":494,"scale":"shares"},{"title":"Corporate Bonds: Momentum Spillovers","url":"/papers/ssrn/4622610/","summary":"Momentum Spillovers: The article uncovers momentum spillovers in the corporate bond market, proposing a strategy of buying bonds from high-performing peers and selling bonds from low-performing peers, yielding a monthly alpha of 36 basis points.","featured":"2023-11-08","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Bubble economics","url":"/papers/arxiv/2311.03638/","summary":"Nonstationary Phenomenon: The article discusses the theory of rational asset price bubbles, highlighting that bubbles linked to real assets like stocks and housing are nonstationary phenomena tied to unbalanced growth.","featured":"2023-11-08","label":"arXiv","topic":"Asset Pricing & Factors","cites":43,"score":4,"scale":"shares"},{"title":"Cost of Capital: Cross-Sectional Analysis","url":"/papers/ssrn/4620204/","summary":"Cross-Sectional Analysis: Research spanning 20 years across multiple countries shows that most variations in perceived capital cost are not supported by subsequent returns, questioning the production-based asset pricing model.","featured":"2023-11-02","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Risk Premia in European Sovereign Bonds: The Information in Long-Term Rates","url":"/papers/ssrn/4606828/","summary":"The research uses a stochastic volatility model to estimate risk premia for Germany, France, Italy, and the UK, finding that risk premia depend on stochastic volatility, not the yield curve's level and slope.","featured":"2023-10-25","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":2,"scale":"shares"},{"title":"A Deep Structural Model for Empirical Asset Pricing","url":"/papers/ssrn/4602537/","summary":"ML and Theory Integration: The article introduces a new model that merges deep learning and structural models for better prediction of equity returns and covariances, leading to higher returns and sharpe ratios.","featured":"2023-10-18","label":"SSRN","topic":"Asset Pricing & Factors","cites":1,"score":3,"scale":"shares"},{"title":"Factor Models for Chinese A-Shares: Performance Comparison","url":"/papers/ssrn/4605402/","summary":"Performance Comparison: The study evaluates asset pricing models in the Chinese Ashares market, concluding that a modified FamaFrench sixfactor model and a fourfactor model perform best, especially when transaction costs are factored in.","featured":"2023-10-18","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter","url":"/papers/ssrn/4602060/","summary":"New: A new asset pricing model, the generalized ACB, is introduced, enhancing the autoregressive conditional beta model by driving dynamic interaction effects among beta coefficients.","featured":"2023-10-18","label":"SSRN","topic":"Asset Pricing & Factors","cites":1,"score":5,"scale":"shares"},{"title":"ESG Risk Premia Measured with Contingent Claims","url":"/papers/ssrn/4600795/","summary":"The study suggests a method to calculate ESG risk premiums using market data, revealing a significant link between ESG scores and asset process volatility and drift terms, indicating ESG factors impact company value.","featured":"2023-10-18","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":16,"scale":"shares"},{"title":"The Upcoming Revolution in Finance…","url":"/papers/ssrn/4601509/","summary":"The article suggests that improved assessment of required risk premia and fundamental values can significantly enhance the efficiency of financial markets.","featured":"2023-10-18","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":2,"scale":"shares"},{"title":"Teach Machine Asset Pricing","url":"/papers/ssrn/4598745/","summary":"Stock Return Prediction: The article discusses how combining finance theories with big data can improve stock return predictions, with theory-guided models outperforming purely data-driven ones.","featured":"2023-10-12","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":4,"scale":"shares"},{"title":"Factor Timing in the Chinese Stock Market","url":"/papers/ssrn/4598129/","summary":"Research shows that predicting returns of the reversal factor's long-short portfolio can yield significant returns in the Chinese stock market.","featured":"2023-10-12","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"Cumulant Risk Premium: A New Methodology","url":"/papers/ssrn/4597367/","summary":"A New Methodology: A new method measures the risk premium of higher-order cumulants using leveraged ETFs, showing significant differences across asset classes, especially during stressful times.","featured":"2023-10-12","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Lower-Tail Risk Premiums in China's Stock Market","url":"/papers/ssrn/4589935/","summary":"A study on the Chinese stock market finds that premiums for joint lower-tail risk of liquidity and investor sentiment significantly affect future stock returns.","featured":"2023-10-04","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Pension Plan Systems and Risk Sharing","url":"/papers/ssrn/4584374/","summary":"Including defined benefit pension funds in an asset pricing model enhances its performance in matching historical equity premium and riskless rate, and offers significant risk sharing benefits.","featured":"2023-09-28","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":124,"scale":"shares"},{"title":"Cross-Sectional Test for Missing Factors","url":"/papers/ssrn/4577921/","summary":"The paper argues that traditional multifactor models like CAPM are incomplete, while the ZCAPM model seems to cover all factors and explains CAPM alphas over time.","featured":"2023-09-21","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":41,"scale":"shares"},{"title":"Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models","url":"/papers/arxiv/2309.08800/","summary":"A new technique using dynamic time warping has been created to identify lead-lag relationships in multivariate time series systems, demonstrated in financial markets.","featured":"2023-09-21","label":"arXiv","topic":"Asset Pricing & Factors","cites":5,"score":6,"scale":"shares"},{"title":"The CAPM, APT, and PAPM","url":"/papers/ssrn/4566414/","summary":"CAPM, APT, and PAPM: The Popularity Asset Pricing Model (PAPM) improves on the Capital Asset Pricing Model (CAPM) by considering investor preferences and beliefs, addressing CAPM's empirical limitations.","featured":"2023-09-14","label":"SSRN","topic":"Asset Pricing & Factors","cites":1,"score":3,"scale":"shares"},{"title":"Theory and Empirics of Prospect Capital Asset Pricing Model","url":"/papers/ssrn/4569590/","summary":"A proposed model suggests investors seek a balance between expected returns, variance, and skewness, significantly affecting stock prices, especially among less experienced investors.","featured":"2023-09-14","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Limited Predictive Power of ML in Estimating Gold Risk Premium","url":"/papers/repec/eee-jocoma-v-31-y-2023-i-c-s2405851322000502/","summary":"Machine learning struggles to predict gold risk premium better than historical averages, but performs slightly better when using individual predictors.","featured":"2023-09-14","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":24,"scale":"shares"},{"title":"Power Sorting","url":"/papers/ssrn/4552208/","summary":"The article suggests a new method for creating characteristic-based equity factors called power sorting, showing its superior performance and applicability to multifactor strategies.","featured":"2023-08-30","label":"SSRN","topic":"Asset Pricing & Factors","cites":2,"score":12,"scale":"shares"},{"title":"Financial Flexibility and Equity Risk","url":"/papers/ssrn/4553410/","summary":"The research connects limited financial flexibility to levered risk premiums, emphasizing leverage gaps and targets, and argues that leverage alone provides limited insights.","featured":"2023-08-30","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Learning to Learn Financial Networks for Optimising Momentum Strategies","url":"/papers/arxiv/2308.12212/","summary":"The L2GMOM machine learning framework enhances portfolio profitability and risk management by learning financial networks and optimizing trading signals.","featured":"2023-08-24","label":"arXiv","topic":"Asset Pricing & Factors","cites":4,"score":7,"scale":"shares"},{"title":"Network Momentum across Asset Classes","url":"/papers/arxiv/2308.11294/","summary":"The article discusses network momentum, a trading signal from asset momentum spillover, and its use in a multi-asset investment strategy that yielded a 22% annual return from 2000 to 2022.","featured":"2023-08-24","label":"arXiv","topic":"Asset Pricing & Factors","cites":6,"score":4,"scale":"shares"},{"title":"High-Dimensional Datasets: Tensor PCA","url":"/papers/ssrn/4547282/","summary":"Tensor PCA: New techniques for analyzing high-dimensional tensor datasets, including a tensor principal component analysis (TPCA) estimation algorithm and a unique test for the number of factors in a tensor factor model, have been developed.","featured":"2023-08-24","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Stock Returns and Factor Models in Big Data","url":"/papers/ssrn/4547185/","summary":"A model with a high-dimensional state space and multiple assets can solve several asset pricing puzzles, predicting many high Sharpe ratio strategies that do not overlap.","featured":"2023-08-24","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":2,"scale":"shares"},{"title":"Enhancing Return Predictability with ML","url":"/papers/repec/inm-ormnsc-v-68-y-2022-i-10-p-7701-7741/","summary":"A new prediction model using machine learning can enhance stock return predictability by reclassifying stocks based on predicted financial performance.","featured":"2023-08-17","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":19,"scale":"shares"},{"title":"Alpha Now, Taxes Later: Tax-Efficient Long-Only Factor Investing","url":"/papers/ssrn/4538712/","summary":"Despite high turnover, factor investing can yield significant pre-tax and post-tax alphas, especially with value, quality, and safety buy-and-hold portfolios, making it a viable option for tax-aware investors.","featured":"2023-08-17","label":"SSRN","topic":"Asset Pricing & Factors","cites":2,"score":2,"scale":"shares"},{"title":"Social contagion and asset prices: Reddit's self-organised bull runs","url":"/papers/arxiv/2104.01847/","summary":"Social Contagion and Asset Prices: The study uses machine learning to analyze Reddit's WallStreetBets forum, concluding that social forces and peer effects can influence asset prices and cause market bubbles.","featured":"2023-08-09","label":"arXiv","topic":"Asset Pricing & Factors","cites":3,"score":91,"scale":"shares"},{"title":"Expanding the Fama–French Factor Model with the Industry Beta","url":"/papers/ssrn/4528675/","summary":"The news-based stock pricing model (NBSPM) performs better than the five-factor Fama-French model (FF5M) for US equity sector ETFs, but adding industry beta to FF5M improves its accuracy, though not as much as NBSPM.","featured":"2023-08-02","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":10,"scale":"shares"},{"title":"Leverage, Endogenous Unbalanced Growth, and Asset Price Bubbles","url":"/papers/arxiv/2211.13100/","summary":"The paper introduces a new theoretical framework to understand asset price bubbles in dividend-paying assets, examining a macro-finance model with a positive feedback loop between capital investment and land price.","featured":"2023-08-02","label":"arXiv","topic":"Asset Pricing & Factors","cites":10,"score":11,"scale":"shares"},{"title":"Heterogeneous Tail Common Factor Modeling","url":"/papers/repec/spr-digfin-v-5-y-2023-i-2-d-10-1007-s42521-023-00083-z/","summary":"The proposed Factor-HGH model, which handles non-Gaussian errors, shows promise in modeling financial factors and asset returns, especially for cryptocurrencies with highly heterogeneous tails.","featured":"2023-08-02","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":14,"scale":"shares"},{"title":"Asset Pricing Outliers","url":"/papers/ssrn/4517498/","summary":"The article discusses how using a Minimum Covariance Determinant estimator improves the performance of stochastic discount factor models by handling multivariate outliers effectively.","featured":"2023-07-26","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":5,"scale":"shares"},{"title":"Sparse Modeling with Grouped Heterogeneity for Asset Pricing","url":"/papers/ssrn/4511953/","summary":"The paper presents a framework for clustering observations and selecting variables in panel data, aiming for economic interpretation and effective use of big data.","featured":"2023-07-19","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":8,"scale":"shares"},{"title":"Estimation of Panel Data Models with Cross-Sectionally Heteroskedastic Data","url":"/papers/ssrn/4503961/","summary":"The research provides a condition for accurately estimating structural parameters in panel data models with cross-sectionally heteroskedastic data.","featured":"2023-07-12","label":"SSRN","topic":"Asset Pricing & Factors","cites":0,"score":3,"scale":"shares"},{"title":"Fama-French Five-Factor Model vs. Machine Learning","url":"/papers/repec/gam-jmathe-v-11-y-2023-i-13-p-2988-d-1186815/","summary":"The paper develops a seven-factor model for the A-share market, compares five machine learning algorithms, and discovers that SVM and random forests enhance fitting power, while the performance of lasso, ridge, and neural networks varies.","featured":"2023-07-12","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":20,"scale":"shares"},{"title":"Factor Models for Large and Incomplete Data Sets with Unknown Group Structure","url":"/papers/repec/eee-intfor-v-39-y-2023-i-3-p-1205-1220/","summary":"The article proposes a new technique for managing large economic time series databases, which performs better than the standard expectation-maximization algorithm, especially with grouped factor structure data.","featured":"2023-07-12","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":14,"scale":"shares"},{"title":"Leverage Covering Strategy for Equity Momentum","url":"/papers/ssrn/4495435/","summary":"Constant Leverage strategy improves performance of momentum portfolios by addressing biases, transaction costs, and compensation mechanisms.","featured":"2023-07-05","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":3,"scale":"shares"},{"title":"Reversal Patterns in Asset Pricing","url":"/papers/ssrn/4486790/","summary":"Pricing errors in asset pricing models show a predictable reversal pattern, indicating the need for new models.","featured":"2023-06-28","label":"SSRN","topic":"Asset Pricing & Factors","cites":null,"score":1422,"scale":"shares"},{"title":"A comparative study of factor models for different periods of the electricity spot price market","url":"/papers/arxiv/2306.07731/","summary":"A 4-factor model is better at predicting electricity spot prices in non-crisis times, but not during crises.","featured":"2023-06-14","label":"arXiv","topic":"Asset Pricing & Factors","cites":4,"score":3,"scale":"shares"},{"title":"HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE","url":"/papers/arxiv/2306.02848/","summary":"HireVAE is a deep learning-based model that outperforms previous methods in terms of active returns in stock market benchmarks.","featured":"2023-06-07","label":"arXiv","topic":"Asset Pricing & Factors","cites":8,"score":4,"scale":"shares"},{"title":"Common Idiosyncratic Quantile Factors and Asset Prices","url":"/papers/arxiv/2208.14267/","summary":"A new risk factor predicts market returns by analyzing upside and downside risks.","featured":"2023-06-07","label":"arXiv","topic":"Asset Pricing & Factors","cites":0,"score":24,"scale":"shares"},{"title":"Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models","url":"/papers/arxiv/2305.06704/","summary":"A methodology for detecting lead-lag relationships in time series systems can be used for control, forecasting, or clustering, and is useful for financial markets or environmental data sets.","featured":"2023-06-01","label":"arXiv","topic":"Asset Pricing & Factors","cites":5,"score":122,"scale":"shares"},{"title":"An Examination of Number of Holdings and Universe Size in Momentum Strategies: Evidence from India","url":"/papers/ssrn/4453680/","summary":"An analysis of momentum strategies in India finds that concentrated portfolios offer better factor exposure but carry higher idiosyncratic risk and do not outperform on a risk-adjusted basis.","featured":"2023-05-24","label":"SSRN","topic":"Asset Pricing & Factors","cites":1,"score":11,"scale":"shares"},{"title":"Gold as a Zero-Beta Asset","url":"/papers/repec/gam-jjrfmx-v-16-y-2023-i-3-p-204-d-1098335/","summary":"Using gold as a zero-beta asset improves asset pricing models for US equities and industries.","featured":"2023-05-24","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":29,"scale":"shares"},{"title":"Beta Anomaly in SA Markets","url":"/papers/repec/gam-jjrfmx-v-15-y-2022-i-5-p-214-d-810895/","summary":"Beta anomaly disappears in South African stock market after controlling for factors.","featured":"2023-05-24","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":23,"scale":"shares"},{"title":"Company Fundamentals and Equity Premiums in Pakistan","url":"/papers/repec/voj-journl-v-68-y-2021-i-5-p-681-697/","summary":"Company fundamentals affect equity premiums in Pakistan stock market.","featured":"2023-05-24","label":"RePEc","topic":"Asset Pricing & Factors","cites":null,"score":19,"scale":"shares"}],"per_quarter":{"2023 Q2":9,"2023 Q3":24,"2023 Q4":23,"2024 Q1":35,"2024 Q2":24,"2024 Q3":25,"2024 Q4":22,"2025 Q1":31,"2025 Q2":31,"2025 Q3":5,"2025 Q4":8,"2026 Q1":0,"2026 Q2":0,"2026 Q3":12}}