Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) tec...
This study evaluates the risk-adjusted performance of Hospitality REITs using multi-factor asset pricing models and downside risk measures with the aim of assessing their diversification potential and crisis sensitivity. Unlike prior studies that exa...
In this paper, we consider asset pricing models under the multivariate t-distribution with finite second moment. Such a distribution, which contains the normal distribution, offers a more flexible framework for modeling asset returns. The main object...
Accurately predicting asset returns remains a central challenge in finance, with significant implications for portfolio optimization and risk management. In response to the challenge, this study evaluates the predictive performance of machine learnin...
This study comparatively evaluated the Capital Asset Pricing Model (CAPM), the Fama and French three-factor model (FF3), and the Fama and French five-factor model (FF5) in key US market sectors (finance, energy, and utilities). The goals were to opti...
This study empirically analyzes and compares return data from developed and emerging market data based on the Fama French five-factor model and compares it to previous results from the Fama French three-factor model by Kostin, Runge and Adams (2021)....
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a...
This study empirically analyzes return data from select energy companies in developed and emerging markets using the Fama-French three- and five-factor asset-pricing models in crisis settings. It researches whether these models are suitable to produc...
This paper investigates the ability of asset pricing models to explain the cross-section of average stock returns of anomaly portfolios. A large sample of 286 anomaly portfolios are employed. We perform out-of-sample cross-sectional regression tests...
This study examines the explainability, validity, and applicability of multi-factor models in explaining the returns of Green (eco-friendly), Grey (neutral), and Red (environmentally harmful) EU securities. We apply the Fama–French three-factor...
This study analyzes the monthly returns of residential real estate investment trusts (REITs) from 2010 through 2025, assessing how these investments performed both during and following the COVID-19 pandemic. Using Sharpe, Sortino, and Omega ratios an...
The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statement...
This study examines financial integration and contagion across South Asia’s emerging and frontier markets during the 2001–2013 period, encompassing both the global financial and Eurozone crises. Employing a multi-factor asset pricing mode...
This study evaluates the performance of U.S. data center Exchange-Traded Funds (ETFs) relative to major equity and technology benchmarks, using monthly returns from January 2000 through December 2024, with particular emphasis on the COVID-19 period a...
The blockchain-based Automated Market Maker (AMM) mechanism establishes a multilateral trading market for multi-source homogeneous data assets. Its advantage lies in realizing algorithmic dynamic pricing and automated circulation through decentralize...
In a recent book, Kolari et al. developed a new theoretical capital asset pricing model dubbed the ZCAPM. Based on out-of-sample cross-sectional tests using U.S. stocks, the ZCAPM consistently outperformed well-known multifactor models popular in the...
To search significant variables which can illustrate the abnormal return of stock price, this research is generally based on the Fama-French five-factor model to develop a multi-factor model. We evaluated the existing factors in the empirical study o...
In recent years, the rapid and significant development of emerging markets has globally led to insight from potential investors and academicians seeking to assess these markets in terms of risk inheritance. Therefore, this study aims to explore the v...
This study examines whether corporate governance helps explain cross-sectional stock return variation on the Tokyo Stock Exchange. We construct 32 portfolios sorted by firm size, book-to-market equity, profitability, investment, and a governance indi...
The general problem of asset pricing when the discount rate differs from the rate at which an asset’s cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by...
This paper examines global equity market integration, commodity-price exposure, and volatility spillovers in Ghana’s frontier equity market. Using daily data from January 2011 to December 2025, we estimate a multi-factor asset pricing model nes...
The multifactor asset pricing model derived from the Fama–French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the est...
This study examines the risk–return performance of Nifty100 ESG and the Nifty Enhanced ESG equity indices listed on India’s National Stock Exchange (NSE) relative to the conventional Nifty 100 benchmark from April 2011 to June 2023. Rathe...
In this paper, we propose a procedure to obtain and test multifactor models based on statistical and financial factors. A major issue in the factor literature is to select the factors included in the model, as well as the construction of the portfoli...
This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets (Brent oil and WTI oil) for the period 2011–2021. The main objective is to make step ahead volatility predictions for the front month c...
In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and compare the results with those of traditional inferential techniques. The new factors are built from statistical measurements on stock...
Over the past decade, multifactor models have shown enhanced capability compared to single-factor models in explaining asset return variability. Given the common assertion that higher risk tends to yield higher returns, this study empirically examine...
This study explores Malaysian oil and gas stocks’ exposure to oil and gas risk factors, paying special attention to subindustry classification, stock size, book-to-market value, and volatility state. The study employs firm-level weekly frequenc...
This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential Fama–MacBeth approach and developed in a kernel regression framework. However, the meth...
The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global...
Amidst global economic fluctuations and escalating geopolitical risks, gold futures, as a pivotal safe-haven asset, demonstrate price dynamics that directly impact investor decision-making and risk mitigation effectiveness. Traditional forecasting mo...
The stock market serves as an important channel for investors to preserve and increase their assets and has attracted significant attention. However, stock price is affected by multiple factors and represents complex characteristics such as high vola...
This paper uses confirmatory factor analysis and a structural equation modeling approach on stock returns in Pakistan and Türkiye in order to separate the global financial shocks from domestic economic fundamentals utilizing monthly stock return...
Finding sustainable measures for expressway financing has long been a significant issue owing to high demand for funds of expressway construction and maintenance of existing facilities. In the Chinese context of expressway financing it has become imp...
Realized downward semi-variance (RDS) has been realized as a key indicator to measure the downside risk of asset prices, and the accurate prediction of RDS can effectively guide traders’ investment behavior and avoid the impact of market fluctu...
With the goal of achieving carbon neutrality, promoting the clean and low-carbon transformation of energy assets, as exemplified by existing thermal power units, has emerged as a pivotal challenge in addressing climate change and achieving sustainabl...