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Asset Pricing & Factors
Factor models, anomalies, the cross-section of returns and what survives publication.
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- 312
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- 79
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Featured papers in this topic with the most citations today.
- 8 Nov 202345cites
Bubble economics
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.
arXivIn Journal of Mathematical Economics
- 10 Sep 202424cites
NUMOSIM: A Synthetic Mobility Dataset with Anomaly Detection Benchmarks
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.
Machine learningIn Proceedings of the 1st ACM SIGSPATIAL International Workshop on Geospatial Anomaly Detection
- 6 Mar 202421cites
In Search of the True Greenium
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.
SSRN
- 2 Aug 202310cites
Leverage, Endogenous Unbalanced Growth, and Asset Price Bubbles
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.
arXiv
- 7 Jun 20239cites
HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE
HireVAE is a deep learning-based model that outperforms previous methods in terms of active returns in stock market benchmarks.
arXivIn International Joint Conference on Artificial Intelligence
- 3 Jan 20248cites
Exploratory Control with Tsallis Entropy for Latent Factor Models
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.
arXivIn SIAM J. Financial Math.
- 19 Dec 20257cites
The Cross-Section of Factor Returns
Most of the 150 equity factors examined show positive returns but fail to deliver excess returns after accounting for risk, especially in downturns.
SSRNFeatured 2×
- 10 Jul 20247cites
When can weak latent factors be statistically inferred?
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.
arXivFeatured 2×
- 24 Aug 20236cites
Network Momentum across Asset Classes
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.
arXiv
- 1 Jun 20236cites
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
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.
arXivIn Applied Mathematical FinanceFeatured 2×
- 28 Dec 20255cites
Interpretable Machine Learning for Asset Pricing
The paper utilizes deep neural networks to more accurately estimate equity risk premia over time, enhancing the interpretability of machine learning in economics.
SSRNFeatured 2×
- 27 Oct 20255cites
Are Penalty Shootouts Better Than a Coin Toss? Evidence From International Club Football in Europe
Using UEFA penalty shootout data (2000–2025) we find outcomes are essentially random—no measurable advantage from kicking order, venue, momentum, or team strength.
arXivIn Journal of Sports Economics
Latest
- 6 Nov 20263fanfare
The Cryptocurrency Trend Factor Revisited: Predictive Information, Portfolio Construction, and Pricing Claims
A code audit of the cryptocurrency trend factor reveals that after correcting for future-information use and technical-indicator issues, the factor's alpha becomes statistically insignificant and cannot replace momentum.
arXiv
- 6 Nov 20263fanfare
PanelGP: A Probabilistic Factor Model for Asset-Return Panels
A Gaussian-process factor model with nonlinear loadings estimated from firm characteristics improves stock ranking and portfolio Sharpe ratios over linear alternatives on S&P 500 data.
arXiv
- 6 Nov 20262fanfare
Predicting Factor Decay: ML Models for Cross-Factor Predictability Erosion
Machine learning models predict when cross-factor predictability will erode, achieving high C-index on held-out pairs and finding that stronger signals decay faster.
arXiv
- 6 Nov 20262fanfare
Specification LASSO and a Flexible Characteristics-Based Asset Pricing Model
A two-step LASSO-based method selects variables and model specification jointly in high dimensions, with oracle properties; applied to characteristics-based pricing, it reveals linear and nonlinear effects and interactions with firm size.
arXiv
- 6 Nov 20263fanfare
Time-Series Momentum in the ETF Era: Decay of the Long-Short Premium and the Case for Long-Only, Volatility-Targeted Trend Allocation
The classic TSMOM long-short premium has decayed to a zero net Sharpe, but a long-only volatility-targeted version across multiple horizons earns 0.58 with strong crisis protection.
SSRN
- 6 Nov 20263fanfare
Investing in Data Capital
Measuring data investment from earnings calls, the research shows data capital's share of investment reached about one-eighth in 2025 and commands a market premium of 12 dollars per dollar invested.
SSRN
- 6 Nov 20263fanfare
Not All Beats Are Equal: Anchoring on the Nominal Earnings Surprise
Shows that stock returns respond more to the same percentage surprise when reported earnings are larger in cents, consistent with anchoring on nominal rather than percentage earnings beats.
SSRN
- 6 Nov 20263fanfare
The Impact of Central Bank Stock Purchases: Evidence from Discontinuities in Policy Rules
Using policy-rule discontinuities, the study finds BOJ stock purchases raise long-term rates but lift prices only after yield curve control pegged rates at zero.
RePEc
- 6 Nov 20262fanfare
Commercial Real Estate Uncertainty
A new uncertainty index for commercial real estate predicts prices and construction spending and accounts for 46 percent of spending forecast errors, outperforming existing uncertainty measures.
RePEc
- 30 Oct 20263fanfare
What Language Models Add to Healthcare-Equity Rankings, and What They Could Have Known
Language models improve one-year stock rankings for healthcare firms by 48%, especially when scientific texts cover trials or regulatory records, but contribute less at other horizons.
arXiv
- 30 Oct 20263fanfare
Macroeconomic Risk and the Equity Premium
The research identifies trend-growth risk as the largest component of the equity risk premium through persistent shocks in a structural VAR, with implications depending on whether yield changes come from monetary or fiscal sources.
SSRN
- 30 Oct 20263fanfare
The State-Dependent Pricing of Panic Risk: Evidence from China's Stock Market
A real-time panic index combining price stress, investor holdings and drawdown pain reveals that exposure to panic innovations carries a negative return premium, larger during high-panic periods and persistent for weeks.
SSRN
- 30 Oct 20263fanfare
Common Ownership Around the World
Study of 49 economies finds common ownership roughly doubled or tripled since 2005, concentrated in large firms and increasingly driven by the Big Three asset managers globally.
SSRN
- 30 Oct 20263fanfare
Stagflation and Asset Management
Classifying 107 years of data into real-time inflation and growth states, the study finds sixty-forty portfolios earn negative real returns in both overheating and stagflation conditions.
SSRN
- 30 Oct 20262fanfare
Taming the VAR
A VAR that groups 25 predictors by persistence into three composite state variables recovers stable estimates of discount-rate and cash-flow news without specification dependence.
SSRN
- 30 Oct 20263fanfare
Does the EU ETS cause carbon leakage? A global supply-chain perspective
Causal evidence shows the EU emissions scheme drives an 8% rise in intermediate-goods imports from non-regulated countries, with 11% higher embodied carbon in manufacturing.
RePEc
- 30 Oct 20262fanfare
Carbon Neutrality Commitment Announcements and Subsequent Stock Returns
Market analysis of 887 carbon neutrality announcements reveals statistically significant negative abnormal returns over 12 months, suggesting investors view pledges as signals of future cost burdens.
RePEc
- 30 Oct 20262fanfare
Ratings, Debt, and Deficits: An Exploration
Sovereign credit ratings overweight debt relative to primary balances, understate the role of growth, and exhibit large unexplained country-specific effects.
RePEc
- 30 Oct 20262fanfare
Chasing El Dorado: gold under shifting geopolitical and financial conditions
Geopolitical risks increase gold returns more strongly during loose financial conditions via credit and liquidity channels, with the largest impact in 2024–26.
RePEc
- 23 Oct 20260cites
Amortized Neural Filtering for Calibrated Posteriors in Statistical Arbitrage
A neural filter estimates posterior uncertainty over spread states and uses it to size positions, cutting the gap between forecasted and realized returns by two to eight times on Korean equities.
arXiv
- 23 Oct 20260cites
Conflicting History in Foundation Model Return Forecasts
Older observations that conflict with recent data reduce foundation models' probability of beating zero across all tested procedures, distinguishing signal extraction from conflicting-history resistance.
arXiv
- 23 Oct 20264fanfare
The Options-Implied Information Content for Cross-Asset Return and Volatility Prediction: Evidence from 3.8 Billion Option Contracts
Using 3.8 billion option contracts, the study finds implied kurtosis predicts five-day returns with 2.33 Sharpe ratio and improves volatility forecasting by 23.3 percent.
SSRN
- 23 Oct 20263fanfare
The Price of Systemic Liquidity Risk: An Intertemporal Theory of Financial Fragility and Cross-Sectional Returns
An intertemporal model shows that bank maturity transformation creates priced systemic risk where high liquidity-beta assets underperform by six to seventeen percent quarterly during stress.
SSRN
- 23 Oct 20263fanfare
Running Hot: Industrial Emissions and the Equity Premium
When U.S. industry runs hot measured by carbon emissions, expected market returns fall 4.2 percentage points the next year, forecasting returns up to five years ahead.
SSRN
- 23 Oct 20263fanfare
Asset Pricing with Cumulants
Log expected excess returns decompose exactly into joint cumulants of returns and the stochastic discount factor, explaining thirty-one anomaly factors with three structural parameters.
SSRN
- 23 Oct 20262fanfare
Intraday Volatility Transmission Across Asset Classes: A Connectedness Analysis of Equities, Foreign Exchange, Commodities, and Cryptocurrencies
Analysis of ten instruments finds U.S. equity futures are net transmitters of volatility shocks while cryptocurrencies became net receivers in 2024-2026, with total connectedness peaking in 2025.
SSRN
- 23 Oct 20264fanfare
Human Capital in Venture Capital: Evidence From 100, 000 Venture Capitalists
Over 100,000 VC professionals show extreme concentration: 5% generate 90% of profits, with superstar status increasing access to high-quality deal flow.
RePEc
- 23 Oct 20263fanfare
From Importer to Exporter: Oil Shocks and the U.S. Economy
The shale revolution shifted how oil supply shocks affect the U.S. economy: contractionary effects weakened and became expansionary as the nation transitioned to net petroleum exporter.
RePEc
- 23 Oct 20263fanfare
Inflation narratives and risk premia
Inflation risk premia move inversely with demand-versus-supply narratives extracted from financial news, consistent with asset pricing theory across euro area and U.S. maturities.
RePEc
- 23 Oct 20262fanfare
When Diversification Fades: a Firm Level Perspective of Stock and Corporate Bond Correlations
A matched-issuer study finds euro-area stock-bond correlations have trended toward zero since 2009, with discount rates driving co-movement but financial stress effects weakening in high-inflation periods.
RePEc