conditional asset pricing Latest Research Papers

Nonparametric Specification Testing of Conditional Asset Pricing Models

Journal of Business and Economic Statistics ◽

10.1080/07350015.2021.1933500 ◽

2021 ◽

pp. 1-39

Author(s):

Francisco Peñaranda ◽

Juan M. Rodríguez-Poo ◽

Stefan Sperlich

Keyword(s):

Asset Pricing ◽

Specification Testing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Corrigendum to “Estimation of conditional asset pricing models with integrated variables in the beta specification” [Res. Int. Bus. Finance 52 (2020) 101148]

Research in International Business and Finance ◽

10.1016/j.ribaf.2020.101369 ◽

2021 ◽

Vol 56 ◽

pp. 101369

Author(s):

Antonios Antypas ◽

Guglielmo Maria Caporale ◽

Nikolaos Kourogenis ◽

Nikitas Pittis

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model

SSRN Electronic Journal ◽

10.2139/ssrn.3760593 ◽

2021 ◽

Author(s):

Steffen Windmüller

Keyword(s):

Asset Pricing ◽

Stock Returns ◽

Firm Characteristics ◽

Pricing Model ◽

Asset Pricing Model ◽

Conditional Asset Pricing ◽

Global Stock

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Estimation of conditional asset pricing models with integrated variables in the beta specification

Research in International Business and Finance ◽

10.1016/j.ribaf.2019.101148 ◽

2020 ◽

Vol 52 ◽

pp. 101148

Author(s):

Antonios Antypas ◽

Guglielmo Maria Caporale ◽

Nikolaos Kourogenis ◽

Nikitas Pittis

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Comment on: Price Discovery in High Resolution, Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models, and Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models.Comparing Fixed-versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbz042 ◽

2020 ◽

Keyword(s):

Asset Pricing ◽

High Resolution ◽

Price Discovery ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbaa003 ◽

2020 ◽

Vol 18 (4) ◽

pp. 715-720

Author(s):

Lars Peter Hansen

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Deep Learning for Conditional Asset Pricing Models

SSRN Electronic Journal ◽

10.2139/ssrn.3723237 ◽

2020 ◽

Author(s):

Hongyi Liu

Keyword(s):

Deep Learning ◽

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Rejoinder on: Pseudo-True SDFs in Conditional Asset Pricing Models*

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbaa019 ◽

2020 ◽

Vol 18 (4) ◽

pp. 776-790 ◽

Cited By ~ 1

Author(s):

Bertille Antoine ◽

Kevin Proulx ◽

Eric Renault

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbaa001 ◽

2020 ◽

Vol 18 (4) ◽

pp. 729-735

Author(s):

Raymond Kan ◽

Cesare Robotti

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Conditional Asset Pricing

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Expected and realized returns in conditional asset pricing models: A new testing approach

Journal of Empirical Finance ◽

10.1016/j.jempfin.2019.04.001 ◽

2019 ◽

Vol 52 ◽

pp. 220-236 ◽

Cited By ~ 1

Author(s):

Jan Antell ◽

Mika Vaihekoski

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Testing Approach ◽

Conditional Asset Pricing

Download Full-text

conditional asset pricing
Recently Published Documents

TOTAL DOCUMENTS

H-INDEX

Nonparametric Specification Testing of Conditional Asset Pricing Models

Corrigendum to “Estimation of conditional asset pricing models with integrated variables in the beta specification” [Res. Int. Bus. Finance 52 (2020) 101148]

Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model

Estimation of conditional asset pricing models with integrated variables in the beta specification

Comment on: Price Discovery in High Resolution, Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models, and Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models.Comparing Fixed-versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs

Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models

Deep Learning for Conditional Asset Pricing Models

Rejoinder on: Pseudo-True SDFs in Conditional Asset Pricing Models*

Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models

Expected and realized returns in conditional asset pricing models: A new testing approach

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conditional asset pricingRecently Published Documents

TOTAL DOCUMENTS

H-INDEX

Nonparametric Specification Testing of Conditional Asset Pricing Models

Corrigendum to “Estimation of conditional asset pricing models with integrated variables in the beta specification” [Res. Int. Bus. Finance 52 (2020) 101148]

Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model

Estimation of conditional asset pricing models with integrated variables in the beta specification

Comment on: Price Discovery in High Resolution, Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models, and Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models.Comparing Fixed-versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs

Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models

Deep Learning for Conditional Asset Pricing Models

Rejoinder on: Pseudo-True SDFs in Conditional Asset Pricing Models*

Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models

Expected and realized returns in conditional asset pricing models: A new testing approach

conditional asset pricing
Recently Published Documents