conditional asset pricing Recently Published Documents

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 ◽

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

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 ◽

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

10.1093/jjfinec/nbz042 ◽

2020 ◽

Keyword(s):

Asset Pricing ◽

High Resolution ◽

Price Discovery ◽

Pricing Models ◽

Asset Pricing Models ◽

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

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 ◽

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 ◽

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

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 ◽

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

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 ◽

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 ◽