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Asset pricing via the conditional quantile variational autoencoder

Yang, Xuanling; Zhu, Zhoufan; Li, Dong; Zhu, Ke - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 681-694

Persistent link: https://www.econbiz.de/10015053443

Changes in the span of systematic risk exposures

Liao, Yuan; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 817-847

We develop a test for deciding whether the linear spaces spanned by the factor exposures of a large cross-section of assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset returns in local windows around the two time points. The...

Persistent link: https://www.econbiz.de/10015053883

Linear factor models and the estimation of expected returns

Sarisoy, Cisil; Goeij, Peter de; Werker, Bas J. M. - 2024

Persistent link: https://www.econbiz.de/10015053943

Asset pricing with costly and delayed firm entry

Kaszab, Lorant; Marsal, Ales; Rabitsch, Katrin - In: Macroeconomic dynamics 28 (2024) 4, pp. 855-879

Persistent link: https://www.econbiz.de/10015055123

Applying the empirical average cost of capital : estimating the cost of funds at the firm and industry levels

Olson, Gerard T.; Pagano, Michael S. - In: Applied economics 56 (2024) 49, pp. 5921-5938

Persistent link: https://www.econbiz.de/10015071908

Investment choices, oil prices, and assets volatility : curious case of crypto currencies

Royal, Saransh; Singh, Kamaljit; Dalal, Ramesh Chander - In: International journal of risk assessment and management … 26 (2023) 2, pp. 144-159

Persistent link: https://www.econbiz.de/10015072397

Journal of financial and quantitative analysis : JFQA

Leonard N. Stern School of Business; Western Finance …; … - New York, NY [u.a.] : Cambridge University Press; … - 1.1966 -

Persistent link: https://www.econbiz.de/10000356983

Speculative and non-speculative equity premia

Ghazi, Soroush; Schneider, Mark; Dorobiala, Zachary - In: Economics letters 236 (2024), pp. 1-3

Persistent link: https://www.econbiz.de/10015072247

In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models

Kan, Raymond; Wang, Xiaolu; Zheng, Xinghua - In: Journal of financial economics 155 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015072280

Financial constraints, cash flow timing patterns, and asset prices

Hu, Weiping; Li, Kai; Zhang, Xiao - In: Journal of financial economics 157 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015072443