https://www.ml-quant.com/topics/asset-pricing-factors/Factor models, anomalies, the cross-section of returns and what survives publication. en https://www.ml-quant.com/papers/arxiv/2609.26212/https://www.ml-quant.com/papers/arxiv/2609.26212/Fri, 25 Sep 2026 07:00:00 +0000Meta-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. https://www.ml-quant.com/papers/ssrn/7477998/https://www.ml-quant.com/papers/ssrn/7477998/Fri, 25 Sep 2026 07:00:00 +0000European 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. https://www.ml-quant.com/papers/ssrn/7512099/https://www.ml-quant.com/papers/ssrn/7512099/Fri, 25 Sep 2026 07:00:00 +0000Factor 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. https://www.ml-quant.com/papers/ssrn/7518623/https://www.ml-quant.com/papers/ssrn/7518623/Fri, 25 Sep 2026 07:00:00 +0000Momentum profits concentrate among firms with high price delay, a measure of information friction, directly supporting theories that gradual information incorporation drives momentum. https://www.ml-quant.com/papers/ssrn/7512572/https://www.ml-quant.com/papers/ssrn/7512572/Fri, 25 Sep 2026 07:00:00 +0000Comparing 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. https://www.ml-quant.com/papers/repec/cpr-ceprdp-20587/https://www.ml-quant.com/papers/repec/cpr-ceprdp-20587/Fri, 25 Sep 2026 07:00:00 +0000Using 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. https://www.ml-quant.com/papers/repec/cpr-ceprdp-20082/https://www.ml-quant.com/papers/repec/cpr-ceprdp-20082/Fri, 25 Sep 2026 07:00:00 +0000The 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. https://www.ml-quant.com/papers/repec/fip-fedgif-103716/https://www.ml-quant.com/papers/repec/fip-fedgif-103716/Fri, 25 Sep 2026 07:00:00 +0000A two-country model shows that uncertainty shocks tighten intermediary constraints, widening credit spreads, appreciating the dollar, and raising currency risk premia globally. https://www.ml-quant.com/papers/repec/cpr-ceprdp-20745/https://www.ml-quant.com/papers/repec/cpr-ceprdp-20745/Fri, 25 Sep 2026 07:00:00 +0000Focusing 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. https://www.ml-quant.com/papers/repec/nbr-nberwo-35636/https://www.ml-quant.com/papers/repec/nbr-nberwo-35636/Fri, 25 Sep 2026 07:00:00 +0000Stock returns are dampened by rate insurance: falling rates cushion payoff risk in bad times while rising rates in good times hedge duration exposure. https://www.ml-quant.com/papers/repec/nbr-nberwo-35579/https://www.ml-quant.com/papers/repec/nbr-nberwo-35579/Fri, 25 Sep 2026 07:00:00 +0000The research identifies common risk factors spanning stocks, corporate bonds, and options linked to economic indicators, revealing significant market segmentation and cross-asset hedging opportunities. https://www.ml-quant.com/papers/repec/ags-aaea26-404411/https://www.ml-quant.com/papers/repec/ags-aaea26-404411/Fri, 25 Sep 2026 07:00:00 +0000Traders 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. https://www.ml-quant.com/papers/ssrn/4473746/https://www.ml-quant.com/papers/ssrn/4473746/Sun, 28 Dec 2025 07:00:00 +0000The paper utilizes deep neural networks to more accurately estimate equity risk premia over time, enhancing the interpretability of machine learning in economics. https://www.ml-quant.com/papers/ssrn/4465240/https://www.ml-quant.com/papers/ssrn/4465240/Sun, 28 Dec 2025 07:00:00 +0000The paper outlines the required conditions for modeling stock prices with characteristics-based factor portfolios, addressing covariate structure issues. https://www.ml-quant.com/papers/ssrn/4441376/https://www.ml-quant.com/papers/ssrn/4441376/Fri, 19 Dec 2025 07:00:00 +0000Most of the 150 equity factors examined show positive returns but fail to deliver excess returns after accounting for risk, especially in downturns. https://www.ml-quant.com/papers/arxiv/2512.16251/https://www.ml-quant.com/papers/arxiv/2512.16251/Fri, 19 Dec 2025 07:00:00 +0000The 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. https://www.ml-quant.com/papers/arxiv/2510.17641/https://www.ml-quant.com/papers/arxiv/2510.17641/Mon, 27 Oct 2025 07:00:00 +0000Using UEFA penalty shootout data (2000–2025) we find outcomes are essentially random—no measurable advantage from kicking order, venue, momentum, or team strength. https://www.ml-quant.com/papers/repec/eee-ecolet-v-247-y-2025-i-c-s0165176524006037/https://www.ml-quant.com/papers/repec/eee-ecolet-v-247-y-2025-i-c-s0165176524006037/Mon, 27 Oct 2025 07:00:00 +0000Disagreement in macro forecasts raises risk premia: consumption disagreement hurts overall stock returns, while productivity disagreement particularly damages small, low-profit firms. https://www.ml-quant.com/papers/repec/inm-ormnsc-v-71-y-2025-i-2-p-1824-1845/https://www.ml-quant.com/papers/repec/inm-ormnsc-v-71-y-2025-i-2-p-1824-1845/Mon, 27 Oct 2025 07:00:00 +0000Accounting 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. https://www.ml-quant.com/papers/repec/spr-jecfin-v-43-y-2019-i-1-d-10-1007-s12197-018-9438-x/https://www.ml-quant.com/papers/repec/spr-jecfin-v-43-y-2019-i-1-d-10-1007-s12197-018-9438-x/Fri, 24 Oct 2025 07:00:00 +0000The research disputes the Fama and French three factor model, stating that size and value mimicking factors should not be seen as systematic risk factors. https://www.ml-quant.com/papers/arxiv/2509.09452/https://www.ml-quant.com/papers/arxiv/2509.09452/Sat, 13 Sep 2025 07:00:00 +0000The 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. https://www.ml-quant.com/papers/arxiv/2509.05760/https://www.ml-quant.com/papers/arxiv/2509.05760/Sat, 13 Sep 2025 07:00:00 +0000A 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. https://www.ml-quant.com/papers/arxiv/2508.19006/https://www.ml-quant.com/papers/arxiv/2508.19006/Fri, 29 Aug 2025 07:00:00 +0000The 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. https://www.ml-quant.com/papers/arxiv/2507.04093/https://www.ml-quant.com/papers/arxiv/2507.04093/Thu, 10 Jul 2025 07:00:00 +0000The 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. https://www.ml-quant.com/papers/arxiv/2506.23619/https://www.ml-quant.com/papers/arxiv/2506.23619/Thu, 03 Jul 2025 07:00:00 +0000The research warns about the sensitivity of large linear machine learning models in predicting equity premiums, suggesting caution in their use. https://www.ml-quant.com/papers/ssrn/5242901/https://www.ml-quant.com/papers/ssrn/5242901/Wed, 25 Jun 2025 07:00:00 +0000The Common Task Framework (CTF) can enhance innovation, effort, and honesty in research, and could be used in financial economics to assess asset pricing models. https://www.ml-quant.com/papers/ssrn/5237922/https://www.ml-quant.com/papers/ssrn/5237922/Wed, 25 Jun 2025 07:00:00 +0000Currency risk premiums fluctuate on U.S. FOMC announcement days, with currencies expecting a larger reduction in implied variance earning higher returns. https://www.ml-quant.com/papers/ssrn/5283770/https://www.ml-quant.com/papers/ssrn/5283770/Wed, 11 Jun 2025 07:00:00 +0000The 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. https://www.ml-quant.com/papers/ssrn/5277572/https://www.ml-quant.com/papers/ssrn/5277572/Wed, 04 Jun 2025 07:00:00 +0000The 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. https://www.ml-quant.com/papers/ssrn/5276817/https://www.ml-quant.com/papers/ssrn/5276817/Wed, 04 Jun 2025 07:00:00 +0000The paper presents a Fear of Missing Out (FOMO) Capital Asset Pricing Model, suggesting that investors gain satisfaction from avoiding underperformance compared to their peers.