Kolari, Liu, and Huang (2021) recently proposed and empirically tested a new asset pricing model dubbed the ZCAPM that consistently outperformed popular multifactor models using U.S. stock returns. Is the ZCAPM a false discovery? As verification, this paper provides international stock return...

This paper presents a simplified single period asset-pricing model that adjusts for illiquidity and tests for the Finnish stock market. The empirical testing for a small yet developed market is motivated by the increased relevance of the illiquidity effect for illiquid assets/markets vastly...

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate liquidity risk or betting on it. A three-factor model capturing...

The evaluation for the specification errors of asset pricing models is conducted using size-BM, size-MOM and industry portfolios (21) for Finnish stock market. The Finnish market is taken as a test case for equity markets where few firms dominate the total market capitalization. We report...