Related papers: Non-parametric and semi-parametric asset pricing
The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky…
Searching for new effective risk factors on stock returns is an important research topic in asset pricing. Factor modeling is an active research topic in statistics and econometrics, with many new advances. However, these new methods have…
This paper investigates the time-varying structure of Fama and French's (1993; 2015) multi-factor models using Fama and MacBeth's (1973) two-step estimation based on the rolling window method. In particular, we employ the generalized GRS…
In this paper, a practical estimation method for a regression model is proposed using semiparametric efficient score functions applicable to data with various shapes of errors. First, I derive semiparametric efficient score vectors for a…
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
This paper develops a new method for identifying econometric models with partially latent covariates. Such data structures arise in industrial organization and labor economics settings where data are collected using an input-based sampling…
We investigate whether the tails of firm-level idiosyncratic return distributions are driven by common shocks. We use quantile factor analysis to extract such common idiosyncratic quantile factors with asymmetric pricing effects and we find…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
Factor models have become a common and valued tool for understanding the risks associated with an investing strategy. In this report we describe Exabel's factor model, we quantify the fraction of the variability of the returns explained by…
Data can be assumed to be continuous functions defined on an infinite-dimensional space for many phenomena. However, the infinite-dimensional data might be driven by a small number of latent variables. Hence, factor models are relevant for…
This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish…
We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the…
We give a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/or industry factors. For short horizons we employ the…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation…
We consider a broad class of semiparametric regression models in which the conditional distribution of the response takes the form $f\{Y|\bf{x}^{\rm T}\boldsymbol{\beta}+m(z), \phi\}$, which is known up to a parametric component…
The purpose of this article is to propose a new "theory," the Strategic Analysis of Financial Markets (SAFM) theory, that explains the operation of financial markets using the analytical perspective of an enlightened gambler. The gambler…
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not…
While asset-pricing models increasingly recognize that factor risk premia are subject to structural change, existing literature typically assumes that investors correctly account for such instability. This paper studies how investors…