Frontiers of Asset Pricing

Dear Colleagues,

The famed Capital Asset Pricing Model (CAPM) of Sharpe, Lintner, Mossin, and Black in the 1960s proposed an equilibrium theory wherein the expected return of an asset is a function of the beta risk associated with the expected return of the market portfolio. The CAPM was a groundbreaking model derived from Markowitz portfolio theory and Tobin equilibrium pricing advances.

Unfortunately, in the 1990s, Fama and French published a series of widely cited papers that documented little to no relation between the beta risk and average U.S. stock returns. Concluding that the CAPM was redundant, they proposed a number of empirically based models incorporating long/short portfolio returns as multifactors, which supplanted the CAPM. Subsequently, researchers have proposed similar models with different multifactors. However, Cochrane proposed the factor zoo. Nowadays, intense competition exists in terms of alternative multifactors and models.

This Special Issue will publish papers in various areas related to asset pricing. Possible topics for the proposed Special Issue on the frontiers of asset pricing include the following: (1) multifactors, (2) models, (3) theories, (4) empirical tests, (5) applications, (6) other asset classes, and (7) international tests.

Prof. Dr. James W. Kolari
Prof. Dr. Seppo Pynnonen
Guest Editors

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