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What is Missing in Asset-Pricing Factor Models? · Study

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PreprintWhat is Missing in Asset-Pricing Factor Models?

Massimo Dello Preite2022

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Preprintgreen2022

What is Missing in Asset-Pricing Factor Models?

Massimo Dello Preite · Raman Uppal · Paolo Zaffaroni · Irina Zviadadze

16 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 2016Measuring Economic Policy Uncertainty*1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2002Illiquidity and stock returns: cross-section and time-series effects 2014A five-factor asset pricing model

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2023Asset-Pricing Factors with Economic Targets

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Details

Year2022

Typepreprint

Published2022-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations16

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.4135146

openalex_workW4285176356

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