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Frontiers of Asset Pricing

This book is comprised of articles published in a Special Issue of the Journal of Risk and Financial Management entitled "Frontiers in Asset Pricing" with Guest Editors Professor James W. Kolari and Professor Seppo Pynnonen. The book contains papers in various areas related to asset pricing: (1) mod...

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Enregistré dans:
Format: Online
Langue:anglais
Publié: MDPI - Multidisciplinary Digital Publishing Institute 2022
Sujets:
forecasting
commodity market
metals
term structure
yield spread
carry cost rate
hedge ratio
conditional hedge ratio
bias adjustments
earnings
announcements
options
informed trading
net buying pressure
volatility
direction
at-the-money
out-of-the-money
deep-out-of-the-money
asset pricing
S&P 500 index
survivor stocks
risk factors
momentum
Bitcoin
cryptocurrencies
outliers
GARCH-jump
time-varying jumps
zero-beta CAPM
return dispersion
expectation-maximization (EM) regression
latent variable
free-boundary problem
pairs trading
stochastic control
trading strategies
transaction costs
transaction regions
finance
economics
event study
clustered event days
cross-sectional correlation
cumulated ranks
rank test
standardized abnormal returns
market index
market factor
multifactors
efficient portfolios
efficient market hypothesis
unit root
spectral analysis
abnormal returns
pricing
market volume
portfolio profitability
Poisson model
thema EDItEUR::Q Philosophy and Religion::QD Philosophy
Accès en ligne:ONIX_20221206_9783036558455_96
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Résumé:This book is comprised of articles published in a Special Issue of the Journal of Risk and Financial Management entitled "Frontiers in Asset Pricing" with Guest Editors Professor James W. Kolari and Professor Seppo Pynnonen. The book contains papers in various areas related to asset pricing: (1) models; (2) multifactors; (3) theory; (4) empirical tests; (5) applications; (6) other asset classes; and (7) international tests.

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