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Asset Pricing & Factors
Factor models, anomalies, the cross-section of returns and what survives publication.
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Featured papers in this topic with the most citations today.
- 8 Nov 202343cites
Bubble economics
Nonstationary Phenomenon: The article discusses the theory of rational asset price bubbles, highlighting that bubbles linked to real assets like stocks and housing are nonstationary phenomena tied to unbalanced growth.
arXivIn Journal of Mathematical Economics
- 10 Sep 202424cites
NUMOSIM: A Synthetic Mobility Dataset with Anomaly Detection Benchmarks
A Synthetic Mobility Dataset: The paper presents NUMOSIM, a synthetic mobility dataset for testing anomaly detection techniques, simulating realistic mobility scenarios and anomalies to improve geospatial mobility analysis.
Machine learningIn Proceedings of the 1st ACM SIGSPATIAL International Workshop on Geospatial Anomaly Detection
- 6 Mar 202420cites
In Search of the True Greenium
The study introduces a robust green score and expected returns to calculate the greenium, the expected return of green securities compared to brown, which is found to be more negative in greener countries and over time.
SSRN
- 2 Aug 202310cites
Leverage, Endogenous Unbalanced Growth, and Asset Price Bubbles
The paper introduces a new theoretical framework to understand asset price bubbles in dividend-paying assets, examining a macro-finance model with a positive feedback loop between capital investment and land price.
arXiv
- 7 Jun 20238cites
HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE
HireVAE is a deep learning-based model that outperforms previous methods in terms of active returns in stock market benchmarks.
arXivIn International Joint Conference on Artificial Intelligence
- 19 Dec 20257cites
The Cross-Section of Factor Returns
Most of the 150 equity factors examined show positive returns but fail to deliver excess returns after accounting for risk, especially in downturns.
SSRNFeatured 2×
- 10 Jul 20247cites
When can weak latent factors be statistically inferred?
The article introduces a new theory for principal component analysis (PCA) under the weak factor model. This theory accounts for cross-sectional dependent components and provides finite-sample characterizations for estimation error and statistical inference uncertainty level, improving upon previous research.
arXivFeatured 2×
- 3 Jan 20247cites
Exploratory Control with Tsallis Entropy for Latent Factor Models
The research uses Tsallis Entropy in models with latent factors to optimally control and explore the state space, proving that the optimal state distribution is q-Gaussian, which can be used in creating robust statistical arbitrage trading strategies.
arXivIn SIAM J. Financial Math.
- 24 Aug 20236cites
Network Momentum across Asset Classes
The article discusses network momentum, a trading signal from asset momentum spillover, and its use in a multi-asset investment strategy that yielded a 22% annual return from 2000 to 2022.
arXiv
- 28 Dec 20255cites
Interpretable Machine Learning for Asset Pricing
The paper utilizes deep neural networks to more accurately estimate equity risk premia over time, enhancing the interpretability of machine learning in economics.
SSRNFeatured 2×
- 27 Nov 20245cites
Design choices, machine learning, and the cross-section of stock returns
The performance of machine learning models in predicting stock returns is greatly influenced by their design choices, with nonstandard errors in portfolio returns surpassing standard errors by 59%.
SSRNFeatured 4×
- 29 Nov 20235cites
Does Peer-Reviewed Research Help Predict Stock Returns?
The research suggests that the predictability of cross-sectional return predictors decreases by half in post-sample scenarios, indicating that theory doesn't improve prediction and peer-review often misinterprets mispricing as risk.
arXivFeatured 2×
Latest
- 25 Sep 20260cites
Trust, Rule of Law, and the Size Premium: Evidence from a Meta-Analysis
Meta-analysis of 1,613 size-premium estimates across 31 countries finds that stronger rule of law is associated with larger size premia, contrary to intuition.
arXiv
- 25 Sep 20264fanfare
From D&I to D&I: European Capital Markets' Regime Shift from Diversity and Inclusion to Defence and Infrastructure
European defence stocks repriced sharply starting November 2021, two to three months before Russia's invasion, delivering 26% alpha and reflecting release of ESG-exclusion constraints.
SSRN
- 25 Sep 20263fanfare
Speculative Leverage and Factor Momentum
Factor momentum strategies earn 49 basis points per month extra return following quarters of rapid margin-debt growth, a predictability that persists after publication and reflects limits to arbitrage correction.
SSRN
- 25 Sep 20263fanfare
Firm-Specific Price Delay and Momentum
Momentum profits concentrate among firms with high price delay, a measure of information friction, directly supporting theories that gradual information incorporation drives momentum.
SSRN
- 25 Sep 20262fanfare
Crossing the Zero Lower Bound: Negative Interest Rates and Corporate Valuation
Comparing firms across the ECB's 2014 negative rate adoption shows treated European firms had higher valuations but reduced leverage, suggesting cash-flow and discount-rate channels dominate tax-shield effects.
SSRN
- 25 Sep 20263fanfare
Skewness Risk Premia and the Cross-Section of Currency Returns
Using model-free skewness measures from currency options, the study shows that skewness risk is priced in currency returns and explains variation across a broad cross-section of currency portfolios.
RePEc
- 25 Sep 20263fanfare
Asset Embeddings
The paper shows that portfolio holdings contain all information needed for asset pricing and develops asset embeddings analogous to word embeddings to represent firms and predict valuations.
RePEc
- 25 Sep 20263fanfare
Pricing Risk Globally: Intermediary Constraints, the Dollar, and the Global Financial Cycle
A two-country model shows that uncertainty shocks tighten intermediary constraints, widening credit spreads, appreciating the dollar, and raising currency risk premia globally.
RePEc
- 25 Sep 20263fanfare
Carry Trade and Currency Crash Risk
Focusing on dollar-lira trading, the paper shows that higher crash risk significantly increases carry trade expected returns, accounting for 46–77% of compensation through Shapley decomposition.
RePEc
- 25 Sep 20263fanfare
Rate Risk and Rate Insurance
Stock returns are dampened by rate insurance: falling rates cushion payoff risk in bad times while rising rates in good times hedge duration exposure.
RePEc
- 25 Sep 20262fanfare
Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux
The research identifies common risk factors spanning stocks, corporate bonds, and options linked to economic indicators, revealing significant market segmentation and cross-asset hedging opportunities.
RePEc
- 25 Sep 20262fanfare
Exogenous Risk, Hedging Pressure, and Risk Premia in Agricultural Commodity Markets
Traders place 15% weight on USDA crop reports relative to private priors when forming price expectations, with this anchoring weight rising when private analyst disagreement increases.
RePEc
- 28 Dec 20255cites
Interpretable Machine Learning for Asset Pricing
The paper utilizes deep neural networks to more accurately estimate equity risk premia over time, enhancing the interpretability of machine learning in economics.
SSRNFeatured 2×
- 28 Dec 202589shares
Asset Pricing and Stochastic Discount Factors
The paper outlines the required conditions for modeling stock prices with characteristics-based factor portfolios, addressing covariate structure issues.
SSRNFeatured 2×
- 19 Dec 20257cites
The Cross-Section of Factor Returns
Most of the 150 equity factors examined show positive returns but fail to deliver excess returns after accounting for risk, especially in downturns.
SSRNFeatured 2×
- 19 Dec 20250cites
Interpretable Deep Learning for Stock Returns: A Consensus-Bottleneck Asset Pricing Model
The Consensus-Bottleneck Asset Pricing Model uses a neural network to mimic analyst reasoning, showing how investor beliefs influence asset prices and enhancing long-term predictions for U.S. stocks.
arXiv
- 27 Oct 20253cites
Are Penalty Shootouts Better Than a Coin Toss? Evidence From International Club Football in Europe
Using UEFA penalty shootout data (2000–2025) we find outcomes are essentially random—no measurable advantage from kicking order, venue, momentum, or team strength.
arXivIn Journal of Sports Economics
- 27 Oct 20255shares
Forecast Disagreement & Risk Premia
Disagreement in macro forecasts raises risk premia: consumption disagreement hurts overall stock returns, while productivity disagreement particularly damages small, low-profit firms.
RePEcFeatured 14×
- 27 Oct 20254shares
Early Exercise and Put Risk Premia
Accounting for optimal early exercise, American puts show less negative raw returns but more negative delta‑hedged returns than European puts, changing which option anomalies look profitable.
RePEcFeatured 8×
- 24 Oct 202530shares
Risk Factor Validation
The research disputes the Fama and French three factor model, stating that size and value mimicking factors should not be seen as systematic risk factors.
RePEc
- 13 Sep 20253cites
Optimal Investment and Consumption in a Stochastic Factor Model
The article discusses optimal investment and consumption in an incomplete stochastic factor model, offering a comprehensive characterization of the problem's well-posedness and an efficient numerical algorithm for computing the value function.
arXiv
- 13 Sep 20250cites
Rethinking Beta: A Causal Take on CAPM
A study suggests the Capital Asset Pricing Model should be viewed as associational, not causal, with beta reflecting market capture of underlying drivers, and risk management should focus on declared causal paths instead of fixed factors.
arXiv
- 29 Aug 20250cites
Is attention truly all we need? An empirical study of asset pricing in pretrained RNN sparse and global attention models
The study finds that pretrained RNN attention models can effectively derive returns and hedge risks in asset pricing, even during extreme market conditions like the COVID-19 pandemic.
arXiv
- 10 Jul 20250cites
Dynamic Asset Pricing with {\alpha}-MEU Model
The study investigates a dynamic asset pricing problem, showing that an agent's perceived ambiguity or ambiguity-aversion can lower the risk-free rate and increase the stock price.
arXiv
- 3 Jul 20250cites
Overparametrized models with posterior drift
The research warns about the sensitivity of large linear machine learning models in predicting equity premiums, suggesting caution in their use.
arXiv
- 25 Jun 2025246shares
Common Task Framework
The Common Task Framework (CTF) can enhance innovation, effort, and honesty in research, and could be used in financial economics to assess asset pricing models.
SSRNFeatured 3×
- 25 Jun 2025213shares
FOMC Announcement Premiums
Currency risk premiums fluctuate on U.S. FOMC announcement days, with currencies expecting a larger reduction in implied variance earning higher returns.
SSRNFeatured 3×
- 11 Jun 20252shares
Deep IV Factor Models
The Deep Implied Volatility Factor Model, combining neural networks and linear regression, is proposed for estimating the daily Implied Volatility surface of individual stock options, improving performance around earnings announcements.
SSRNFeatured 2×
- 4 Jun 20252shares
AI Asset Pricing Impacts
The article presents a model that examines the impact of AI on the economy, portfolio choices, and asset prices, suggesting that AI increases output growth and volatility and influences investor behavior.
SSRN
- 4 Jun 20250cites
A FOMO-based Capital Asset Pricing Model
The paper presents a Fear of Missing Out (FOMO) Capital Asset Pricing Model, suggesting that investors gain satisfaction from avoiding underperformance compared to their peers.
SSRNFeatured 3×