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2012, ISBN 9780521186513, xiii, 442
The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized... 
Capital assets pricing model | Capital asset pricing model
Book
The Journal of Finance, ISSN 0022-1082, 04/2018, Volume 73, Issue 2, pp. 715 - 754
ABSTRACT A Bayesian asset pricing test is derived that is easily computed in closed form from the standard F‐statistic. Given a set of candidate traded... 
TESTS | BUSINESS, FINANCE | STOCK-MARKET | ANOMALIES | PERFORMANCE | FINITE ECONOMY | RETURNS | PORTFOLIO EFFICIENCY | ARBITRAGE | ECONOMICS | BAYESIAN-APPROACH | SELECTION | Models | Analysis | Pricing | Financial disclosure | Economic models | Candidates | Profitability | Assets | Subsets | Probability | Pricing policies | Bayesian analysis
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 04/2015, Volume 116, Issue 1, pp. 1 - 22
A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the... 
Dividend discount model | Factor model | Profitability | Asset pricing model | Investment | SIZE | RISK | BOOK-TO-MARKET | VALUATION | BUSINESS, FINANCE | EXPECTED STOCK-RETURNS | ECONOMICS | EFFICIENCY | PORTFOLIO | INVESTMENTS | Analysis | Pricing
Journal Article
2013, ISBN 0124158757, xxxiii, 622
It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are... 
Prices | Econometric models | Mathematical models | Corporations | Valuation | Finance | Finance & Accounting
Book
The Journal of Finance, ISSN 0022-1082, 02/2020, Volume 75, Issue 1, pp. 551 - 577
ABSTRACT Revisiting the framework of (Barillas, Francisco, and Jay Shanken, 2018, Comparing asset pricing models, The Journal of Finance 73, 715–754). BS... 
BUSINESS, FINANCE | RISK | ECONOMICS | Models | Analysis | Pricing | Financial disclosure | Economic models | Parameters | CAPM | Simulation | Marginal | Finance | Assets | Pricing policies | Bayesian analysis | Property | Risk factors
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 5/2012, Volume 25, Issue 5, pp. 1366 - 1413
We provide evidence for the importance of information asymmetry in asset pricing by using three natural experiments. Consistent with rational expectations... 
Stock prices | Industrial market | Investors | Return on investment | Information asymmetry | Earnings forecasting | Stock shares | Modeling | Financial portfolios | Brokerages | MARKET | PRICES | G24 | G12 | G14 | G17 | STOCK RETURNS | ANALYST COVERAGE | BUSINESS, FINANCE | EXPECTED RETURNS | COST | MUTUAL FUND PERFORMANCE | RECOMMENDATIONS | EQUILIBRIUM | ECONOMICS | LIQUIDITY RISK
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 2006, Volume 82, Issue 3, pp. 631 - 671
Using a new measure of liquidity, this paper documents a significant liquidity premium robust to the CAPM and the Fama–French three-factor model and shows that... 
Trading speed | Liquidity premium | Liquidity factor | BUSINESS, FINANCE | trading speed | liquidity factor | liquidity premium | RETURNS | VOLUME | ECONOMICS | ILLIQUIDITY | CROSS-SECTION | STOCK | CONSUMPTION | Capital assets pricing model | Analysis | Liquidity (Finance) | Pricing
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 03/2017, Volume 123, Issue 3, pp. 441 - 463
Average stock returns for North America, Europe, and Asia Pacific increase with the book-to-market ratio (B/M) and profitability and are negatively related to... 
Multifactor models | Dividend discount model | International asset pricing | PRICES | RISK | STOCK RETURNS | MARKET EQUILIBRIUM | BUSINESS, FINANCE | COSTS | GROWTH | INVESTMENT | ECONOMICS | EFFICIENCY | PORTFOLIO | EQUITY | Analysis | Business schools | Pricing | Studies | Profitability | CAPM | Investment
Journal Article
Journal of Finance, ISSN 0022-1082, 06/2018, Volume 73, Issue 3, pp. 1061 - 1111
Journal Article
The Journal of Finance, ISSN 0022-1082, 12/2013, Volume 68, Issue 6, pp. 2617 - 2649
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 01/2016, Volume 119, Issue 1, pp. 1 - 23
We propose a new method of testing asset pricing models that relies on quantities rather than just prices or returns. We use the capital flows into and out of... 
Flows | Mutual Funds | CAPM | Asset Pricing Test | Factor Models | MARKETS | PERFORMANCE | PERSISTENCE | INFORMATION | RISK | BUSINESS, FINANCE | PRESIDENTIAL-ADDRESS | ACTIVE MANAGEMENT | EQUILIBRIUM | ECONOMICS | MUTUAL FUND FLOWS | CONSUMPTION | Analysis | Pricing
Journal Article
2011, The Frank J. Fabozzi series, ISBN 0470482354, xx, 384
An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy... 
Capital assets pricing model | Mathematical models | Lévy processes | Finance | Probabilities | General | BUSINESS & ECONOMICS
Book
Journal of Financial Economics, ISSN 0304-405X, 01/2015, Volume 115, Issue 1, pp. 1 - 24
Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile... 
Expectations | Extrapolation | Predictability | Volatility | RARE DISASTERS | FINANCIAL-MARKETS | PRICES | LONG-RUN | PREMIUM | RISK | WEALTH | BUSINESS, FINANCE | ECONOMICS | CONSUMPTION | Stock markets | Analysis
Journal Article
2005, STU - Student edition, ISBN 0691115370, xv, 525
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely... 
Capital assets pricing model | Finance | Mathematical models | Finance & Accounting | Economics | Econometrics | BUSINESS & ECONOMICS
Book