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Asset Pricing & Factors
Factor models, anomalies, the cross-section of returns and what survives publication.
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Featured papers in this topic with the most citations today.
- 8 Nov 202343cites
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 20238cites
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
- 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×
- 3 Jan 20247cites
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.
- 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
- 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 Nov 20245cites
Design choices, machine learning, and the cross-section of stock returns
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%.
SSRNFeatured 4×
- 29 Nov 20235cites
Does Peer-Reviewed Research Help Predict Stock Returns?
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.
arXivFeatured 2×
Latest
- 9 Oct 20264fanfare
FactorBench: A Portfolio-Aware Benchmark for Automated Factor Mining
A portfolio-aware benchmark comparing five thousand factors from nine automated mining methods across five equity markets finds that no discovery paradigm consistently dominates in signal quality or portfolio performance.
arXiv
- 9 Oct 20263fanfare
AlphaPADI: Formulaic Alpha Discovery via Pool-Aware Hierarchical Discrete Diffusion
Introduces a hierarchical discrete diffusion framework that generates pools of formulaic alphas by reconstructing complete candidate pools under current context and maximizing joint predictive performance and inner diversity.
arXiv
- 9 Oct 20263fanfare
On the Boundary of Admission Gates: An Injected-Truth Study of Falsification-First Selection in Quantitative Strategy Research
An injected-truth protocol reveals that statistical admission gates eliminate false discoveries in weak-signal regimes but cut adoption rates to 1–7 percent, while criteria computed on absolute rather than excess returns reject all candidates.
arXiv
- 9 Oct 20263fanfare
Measuring What is Repeated and Novel in Earnings Disclosures Using Optimal Transport
Decomposing earnings press releases and conference calls into shared and unique textual components shows that unique call content predicts returns better than repeated material.
arXiv
- 9 Oct 20264fanfare
The Three Faces of Fed Surprise: Rate-Path, Information and Tone Shocks in the Equity Cross-section
The study decomposes Federal Reserve announcements into three orthogonal shocks and traces each through the equity cross-section, finding rate-path surprises dominate while standard balance-sheet characteristics carry no additional power beyond beta and size.
SSRN
- 9 Oct 20264fanfare
Supplying Safety to an Aging World: Demographics, Debt, and Risk Premia
A two-country model attributes 251 basis points of U.S. equity premium gains and 71 basis points of global rate decline since 1980 to demographic aging.
SSRN
- 9 Oct 20263fanfare
Cross-Sectional Corporate Bond Returns
Constructs a characteristics-based systematic risk measure using rate jumps that predicts out-of-sample corporate bond returns, with high-minus-low decile portfolio earning 9.12% annually and 7.80% alpha.
SSRN
- 9 Oct 20263fanfare
The Price of Conviction
The study shows that high-conviction beliefs exert outsized influence on prices, with a long-short portfolio exploiting conviction-weighted disagreement earning 13.2 percent annualized six-factor alpha.
SSRN
- 9 Oct 20263fanfare
Artificial Intelligence Exposure and Financial Stability: Cross-Industry Common Risk and Connectedness in U.S. Equity Markets
The study measures AI exposure across 284 U.S. firms and finds that an AI-factor explains only 18% variance alongside conventional factors, suggesting AI is a distinct cross-industry risk lens separate from traditional spillovers.
SSRN
- 9 Oct 20264fanfare
Risk Appetite and Monetary Transmission
The research shows Fed policy affects risk asset prices primarily through risk appetite shifts, not interest rates; transmission via risk appetite dwarfs rate-channel effects.
RePEc
- 9 Oct 20263fanfare
A Currency Premium Puzzle
The paper proves that asset pricing models solving equity and risk-free rate puzzles fail to generate observed interest-rate differentials between risky and safe currencies.
RePEc
- 9 Oct 20263fanfare
The Implied Equity Term Structure
Inferring expected returns from stock prices and cash flows reveals an upward-sloping equity term structure, but value and speculative-grade firms show flat or downward slopes.
RePEc
- 9 Oct 20263fanfare
A Model of Global Firms and Capital Markets
A quantified general-equilibrium model of 23,000 firms across 48 countries shows financial and trade liberalization concentrate activity in largest firms with larger gains for emerging economies.
RePEc
- 2 Oct 20264fanfare
Across the Capital Structure: Bond Signals and Equity Returns *
Signals extracted from corporate bond portfolios predict next-month equity returns of same issuers at 21 basis points higher after controlling for stock characteristics.
SSRN
- 2 Oct 20263fanfare
The Ant Group IPO Halt as a Natural Experiment on Chinese Fintech Regulation, Firm Valuations, and Shadow-Lending Contraction: A High-Frequency Event Study with Synthetic-Control Validation
The study exploits Ant Group's suspended IPO in November 2020 as a natural experiment, finding that highly exposed firms suffered roughly 21 percentage point abnormal returns and experienced a 42% contraction in shadow-loan balances.
SSRN
- 2 Oct 20263fanfare
Why Most Stocks Underperform the Index: Idiosyncratic Variance Drag and the Geometry of Compounding
A lognormal model shows that individual stocks carry an idiosyncratic variance penalty making most underperform the index, with about one-third beating the market over five years.
SSRN
- 2 Oct 20262fanfare
An Auditable Public-Data U.S. Equity Research Pipeline: Point-in-Time Factors, Asset Pricing, Portfolio Construction, and Walk-Forward Machine Learning
A reproducible pipeline for factor research finds no model reliably beats simple approaches after accounting for transaction costs in point-in-time factor tests.
SSRN
- 2 Oct 20262fanfare
Filing Discipline: Regulatory Disclosure Behavior and the Cross-Section of Stock Returns
Filing discipline characteristics built from SEC timestamp data alone predict cross-sectional stock returns with a net Sharpe ratio of 1.27, concentrated in smaller and more volatile stocks.
SSRN
- 2 Oct 20264fanfare
Corporate bond pricing in the AI era
Using ChatGPT's launch as a natural experiment, the paper finds that hyperscalers saw borrowing costs decline while software firms faced worse terms as debt markets repriced AI winners and losers.
RePEc
- 2 Oct 20262fanfare
The Innovator's Risk Premium: Sticky Hurdle Rates, the Cost of Capital, and Creative Destruction
The research shows that firms' hurdle rates exceed their financial cost of capital due to innovation risk and imperfect pledgeability, explaining weak productivity growth and declining business dynamism.
RePEc
- 25 Sep 20260cites
Trust, Rule of Law, and the Size Premium: Evidence from a Meta-Analysis
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.
arXiv
- 25 Sep 20264fanfare
From D&I to D&I: European Capital Markets' Regime Shift from Diversity and Inclusion to Defence and Infrastructure
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.
SSRN
- 25 Sep 20263fanfare
Speculative Leverage and Factor Momentum
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.
SSRN
- 25 Sep 20263fanfare
Firm-Specific Price Delay and Momentum
Momentum profits concentrate among firms with high price delay, a measure of information friction, directly supporting theories that gradual information incorporation drives momentum.
SSRN
- 25 Sep 20262fanfare
Crossing the Zero Lower Bound: Negative Interest Rates and Corporate Valuation
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.
SSRN
- 25 Sep 20263fanfare
Skewness Risk Premia and the Cross-Section of Currency Returns
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.
RePEc
- 25 Sep 20263fanfare
Asset Embeddings
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.
RePEc
- 25 Sep 20263fanfare
Pricing Risk Globally: Intermediary Constraints, the Dollar, and the Global Financial Cycle
A two-country model shows that uncertainty shocks tighten intermediary constraints, widening credit spreads, appreciating the dollar, and raising currency risk premia globally.
RePEc
- 25 Sep 20263fanfare
Carry Trade and Currency Crash Risk
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.
RePEc
- 25 Sep 20263fanfare
Rate Risk and Rate Insurance
Stock returns are dampened by rate insurance: falling rates cushion payoff risk in bad times while rising rates in good times hedge duration exposure.
RePEc