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Empirical asset pricing via machine learning: evidence from the European stock market
16 references·6 citing·21 second hop
Empirical asset pricing via machine learning: evidence from the European stock market (2021)Empirical asset pricing via machine learn…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…A five-factor asset pricing model (2014)A five-factor asset pricing m…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Emerging technologies in finance: challenges for a sustainable finance (2025)Emerging technologies in fina…Credit Card Default Prediction: An Empirical Analysis on Predictive Performance Using Statistical and Machine Learning Methods (2025)Credit Card Default Predictio…Machine learning and the cross-section of emerging market stock returns (2023)Machine learning and the cros…Stock Market Anomalies and Machine Learning Across the Globe (2022)Stock Market Anomalies and Ma…Machine Learning Goes Global: Cross-Sectional Return Predictability in International Stock Markets (2022)Machine Learning Goes Global:…Machine Learning and the Cross-Section of Cryptocurrency Returns (2022)Machine Learning and the Cros…The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Editor's Choice Digesting Anomalies: An Investment ApproachDo Shareholders Benefit from Green Bonds? (2018)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?2,636 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 2011

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Presidential Address: Discount Rates
2,222 cited

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  • 2025Emerging technologies in finance: challenges for a sustainable finance26 cited
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