Frontiers of Asset Pricing

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 pricin...

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Detalles Bibliográficos
Otros Autores:	Kolari, James W. (Editor), Pynnonen, Seppo (Otro)
Formato:	Libro electrónico
Idioma:	Inglés
Publicado:	Basel MDPI - Multidisciplinary Digital Publishing Institute 2022
Materias:	Philosophy forecasting commodity market metals term structure yield spread carry cost rate hedge ratio conditional hedge ratio bias adjustments earnings announcements options informed trading net buying pressure volatility direction at-the-money out-of-the-money deep-out-of-the-money asset pricing S&P 500 index survivor stocks risk factors momentum Bitcoin cryptocurrencies outliers GARCH-jump time-varying jumps zero-beta CAPM return dispersion expectation-maximization (EM) regression latent variable free-boundary problem pairs trading stochastic control trading strategies transaction costs transaction regions finance economics event study clustered event days cross-sectional correlation cumulated ranks rank test standardized abnormal returns market index market factor multifactors efficient portfolios efficient market hypothesis unit root spectral analysis abnormal returns pricing market volume portfolio profitability Poisson model
Ver en Biblioteca Universitat Ramon Llull:	https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009710514706719