Exploring the Intertemporal Capital Asset Pricing Model (ICAPM)

Learn about the Intertemporal Capital Asset Pricing Model (ICAPM), which helps investors manage market risks through ...

Understanding Hedonic Regression in Pricing Models

Learn how hedonic regression helps estimate factors affecting prices in real estate and consumer goods, aiding in precise ...
JSTOR Daily

HIGH-DIMENSIONAL ALPHA TEST OF LINEAR FACTOR PRICING MODELS WITH HEAVY-TAILED DISTRIBUTIONS

We consider the problem of testing the presence of alpha in linear factor pricing models. We propose a robust spatial sign-based nonparametric test that simultaneously alleviates two prominent ...
EurekAlert!

Generating asset pricing model via symbolic modeling—a machine learning-based approach

In a breakthrough for artificial intelligence (AI) and finance, computer scientists from Texas A&M University have developed a machine learning based method called Symbolic Modeling to handle ...
Kellogg School of Management

Can Current Factor Pricing Models Really Explain the Size, Book-to-Market, and Momentum Effects?

Citations: Daniel, Kent. 2003. Can Current Factor Pricing Models Really Explain the Size, Book-to-Market, and Momentum Effects?.