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Frontiers of Asset Pricing
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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.
This book is included in DOAB.
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Keywords
- abnormal returns
- announcements
- asset pricing
- at-the-money
- bias adjustments
- Bitcoin
- carry cost rate
- clustered event days
- commodity market
- conditional hedge ratio
- cross-sectional correlation
- Cryptocurrencies
- cumulated ranks
- deep-out-of-the-money
- Direction
- earnings
- Economics
- efficient market hypothesis
- efficient portfolios
- event study
- expectation-maximization (EM) regression
- Finance
- Forecasting
- free-boundary problem
- GARCH-jump
- hedge ratio
- Humanities
- informed trading
- latent variable
- market factor
- market index
- market volume
- Metals
- momentum
- multifactors
- net buying pressure
- options
- out-of-the-money
- outliers
- pairs trading
- Philosophy
- Poisson model
- portfolio profitability
- Pricing
- rank test
- return dispersion
- Risk factors
- S&P 500 index
- spectral analysis
- standardized abnormal returns
- stochastic control
- survivor stocks
- term structure
- time-varying jumps
- trading strategies
- transaction costs
- transaction regions
- unit root
- volatility
- yield spread
- zero-beta CAPM
Links
DOI: 10.3390/books978-3-0365-5846-2Editions