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Advanced Studies in Empirical Asset Pricing
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Advanced Studies in Empirical Asset Pricing

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Economics and Finance".

Deadline for manuscript submissions: closed (30 November 2024) | Viewed by 3841

Special Issue Editors

Dr. Ying Wang

E-Mail Website
Guest Editor
School of Business, State University of New York at Albany, Albany, NY 12222, USA
Interests: empirical asset pricing; mutual funds; hedge funds; fixed income markets
Special Issues, Collections and Topics in MDPI journals
Dr. Xin (Shane) Gao

E-Mail Website
Guest Editor
The Business School, Worcester Polytechnic Institute, 50 Prescott St., Worcester, MA 01609, USA
Interests: empirical asset pricing; institutional investors; asset allocation; commodities; corporate bonds; financial econometrics

Special Issue Information

Dear Colleagues,

Empirical asset pricing serves as a bridge between theoretical models and real-world financial markets, providing valuable empirical evidence, insights, and practical implications for understanding the behavior and pricing of financial assets. Through rigorous analyses of real-world data, empirical asset pricing research contributes to our understanding of market efficiency, risk factors, market microstructure, and the impact of investor behavior on asset prices. Furthermore, the findings from empirical asset pricing research have significant implications for investors, asset managers, policymakers, and other market participants in making informed investment decisions, managing risk, and designing optimal investment strategies.

We are pleased to announce a call for papers for a Special Issue on "Advanced Studies in Empirical Asset Pricing". This Special Issue aims to provide a platform for researchers and scholars to showcase their cutting-edge research, methodologies, and empirical findings in the field of asset pricing. We invite authors to contribute original research articles that focus on, but are not limited to, the performance and validity of asset pricing models, the identification and examination of risk factors that drive asset prices, the investigation of anomalies and market (in)efficiencies, the impact of market microstructure and trading mechanisms on asset prices and liquidity provision, portfolio management, investor trading behavior and its impact on asset pricing dynamics, and novel empirical methodologies.

Dr. Ying Wang
Dr. Xin (Shane) Gao
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • performance of asset pricing models
  • risk factors
  • market anomalies
  • market (in)efficiency
  • market microstructure
  • portfolio management
  • investor trading behavior
  • novel empirical methodologies

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Published Papers (2 papers)

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Research

20 pages, 1022 KiB  
Article
The Influence of Personality Traits on Stock Investment Retention: Insights from Thai Investors
by Alicha Treerotchananon, Chuleeporn Changchit, Robert Cutshall, Ravi Lonkani and Thanu Prasertsoontorn
J. Risk Financial Manag. 2024, 17(11), 486; https://doi.org/10.3390/jrfm17110486 - 28 Oct 2024
Viewed by 1213
Abstract
Understanding the psychological factors that influence investment decisions is crucial for predicting stock investment retention. This study investigates the mediating role of the Big Five personality traits in stock investment retention, utilizing a modified version of the theory of planned behavior. By examining [...] Read more.
Understanding the psychological factors that influence investment decisions is crucial for predicting stock investment retention. This study investigates the mediating role of the Big Five personality traits in stock investment retention, utilizing a modified version of the theory of planned behavior. By examining the influence of investors’ perceived risk and attitudes toward stock investment, data collected via an online survey with The Association of Thai Securities Companies (ASCO) were analyzed using Structural Equation Modeling (SEM). The findings reveal that extraversion, openness, and conscientiousness significantly impact attitudes toward stock investing, which in turn affects investment retention. However, personality traits do not directly influence risk perception. This research provides unique empirical evidence of the independence between the Big Five personality traits and risk perception among Thai stock investors, underscoring the importance of personality in shaping investment behavior through its effect on attitudes. Full article
(This article belongs to the Special Issue Advanced Studies in Empirical Asset Pricing)
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41 pages, 734 KiB  
Article
Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns?
by Michael William Ashby and Oliver Bruce Linton
J. Risk Financial Manag. 2024, 17(2), 71; https://doi.org/10.3390/jrfm17020071 - 11 Feb 2024
Viewed by 1949
Abstract
We show that three prominent consumption-based asset pricing models—the Bansal–Yaron, Campbell–Cochrane and Cecchetti–Lam–Mark models—cannot explain the dynamic properties of stock market returns. We show this by estimating these models with GMM, deriving ex-ante expected returns from them and then testing whether the difference [...] Read more.
We show that three prominent consumption-based asset pricing models—the Bansal–Yaron, Campbell–Cochrane and Cecchetti–Lam–Mark models—cannot explain the dynamic properties of stock market returns. We show this by estimating these models with GMM, deriving ex-ante expected returns from them and then testing whether the difference between realised and expected returns is a martingale difference sequence, which it is not. Mincer–Zarnowitz regressions show that the models’ out-of-sample expected returns are systematically biased. Furthermore, semi-parametric tests of whether the models’ state variables are consistent with the degree of own-history predictability in stock returns suggest that only the Campbell–Cochrane habit variable may be able to explain return predictability, although the evidence on this is mixed. Full article
(This article belongs to the Special Issue Advanced Studies in Empirical Asset Pricing)
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