Showing 1 - 10 of 32,082
Using hundreds of significant anomalies as testing portfolios, this paper compares the performance of major empirical asset pricing models. The q-factor model and a closely related five-factor model are the two best performing models among a long array of models. The q-factor model outperforms...
Persistent link: https://www.econbiz.de/10011279578
We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...
Persistent link: https://www.econbiz.de/10014372444
Persistent link: https://www.econbiz.de/10014477057
Persistent link: https://www.econbiz.de/10014543917
Persistent link: https://www.econbiz.de/10015063767
Chapter 1. The Emergence of a New Asset Class: Digital Assets -- Chapter 2. An Asset Pricer’s Toolkit -- Chapter 3. Investment Styles in General -- Chapter 4. Related Literature -- Chapter 5. Digital Assets -- Chapter 6. Digital Assets in a Multi-asset Context -- Chapter 7. On the...
Persistent link: https://www.econbiz.de/10013202328
This study investigates how three regulatory reforms undertaken in the aftermath of the global financial crisis have affected returns of real estate companies. The three reforms are aimed at regulating different segments of the market – Basel III targets banks, and could restrict the...
Persistent link: https://www.econbiz.de/10011514259
The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys the...
Persistent link: https://www.econbiz.de/10014025366
We study an economy populated by three groups of logarithmic agents: Constrained agents subject to a portfolio constraint that limits their risk-taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to uncollateralized credit. Such credit...
Persistent link: https://www.econbiz.de/10010257492
We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance--in terms of SDF Sharpe ratio and test asset pricing errors--is improving in model parameterization (or "complexity"). Our empirical findings verify the...
Persistent link: https://www.econbiz.de/10014372446