Multi-fractal processes have been proposed as a new formalism for modeling the time series of returns in finance. The major attraction of these processes is their capability of generating various degrees of long-memory in different powers of returns - a feature that has been found to...

We derive a simple model of the market - an equation for investor return as a function of four variables. The model defines optimal dividend, investment, and share repurchase policy. The model confirms Tobin's proposition that the equilibrium market value of equity assets should equal the...

This paper studies the behavior of corporate bond indices. We find that a 2-factor model with unobservable factors is adequate in capturing the variation of corporate bond portfolio returns, however we cannot identify any linear regression model with observable variables that would be able to do...

We construct new features based on order book data and separate them into three groups, e.g., time-insensitive features, time-sensitive features and cointegration features. For time-insensitive features, we applied serval transformation on imbalance in different levels, and some other features...

The primary question addressed in this study is whether firm-specific ERCs - i.e., slope coefficients obtained from time-series regressions of abnormal returns on earnings surprises - are helpful in predicting price responses to future earnings surprises. Fundamental analysis involves both...

Modern investment theory takes it for granted that a Security Market Line (SML) is as certain as its quot;correspondingquot; Capital Market Line. (CML). However, it can be easily demonstrated that this is not the case. Knightian non-probabilistic, information gap uncertainty exists in the...

Empirical research has shown that within a cross-section of stocks, investor return increases with book-to-market ratio. The reason is in dispute. One side argues that the market is inefficient; the other, that value stocks are riskier. Statistical analysis of historical data has not resolved...

While style analysis has been studied extensively in equity markets, applications of this valuable tool for measuring and benchmarking performance and risk in a real estate context are still relatively new. Previous studies in the real estate market have identified three investment categories...

Based on the insight that risk exposure as quantified in the consumption based asset pricing model (CCAPM) is linearly proportional to the cash flow growth rate, we introduce a discounted cash flow model with a time-varying expected return structure matching the implicitly assumed risk exposure...