1 Investor sentiment: Does it augment the performance of asset pricing models?
2 Mispricing and the five-factor model
3 Size, value, profitability, and investment: Evidence from emerging markets
4 Noisy prices and the Fama–French five-factor asset pricing model
5 Cross-sectional tests of the CAPM and Fama–French three-factor model
6 Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model
7 Monday effect in Fama–French’s RMW factor
8 Digesting anomalies in emerging markets: A comparison of factor pricing models
9 Q-theory, mispricing, and profitability premium
10 Limits of arbitrage and idiosyncratic volatility
11 Is size dead? A review of the size effect in equity returns
12 Market states and the risk-based explanation of the size premium
13 Market volatility and momentum
14 A risk-return explanation of the momentum-reversal “anomaly”
15 Time-varying risk, mispricing attributes, and the accrual premium
16 Bayesian tests of global factor models
17 Model comparison tests of linear factor models in stock returns
18 Multi-factor asset pricing models: Factor construction choices and the revisit of pricing factors
19 Idiosyncratic volatility in the Asian equity market
20 What global economic factors drive emerging Asian stock market returns?
All these topics are good and in mainstream. It will be more appreciated if these topics are converted into themes and derived the topics out of these themes based on latest impact factor joutnals. Rather, associate good impact factor journals with these topics/themes for possible publication.
Dear Dr. Yasir
I was thinking of themes as well. Since this is the first post on asset pricing models, I kind of merged different topics in asset pricing in one. But in future, I shall add further classifications
some of the recent topics are contagion risk modeling for multivariate copula on different securities.
its nice to show research fields for bachelors students. as they are in learning phase, they will gain more knowledge hence. i was in bbs and when i did research i gained more knowledge as compared to the 4 semesters collective study.
Great efforts by sir atta Ullah shah. A real educationist.
Great job, these themes are important for any finance student
All are Key topics in Finance, Kindly Share topics portfolios of Average Cumulative Abnormal Returns (ACAR’s) on which I am doing my PhD. It will give and provide more insights to the MS scholars.
Dear Bahrawar Said, thanks for your suggestions. I would appreciate your input in this regard.
It will be quite helpful to the fresh students great effort
All are Key topics of Finance. Great efforts sir it would be helpful for beginners.
I appreciate your effort. You may like to add the following:
> Estimation of Latent asset pricing factors that fit into time series and cross-sectional data.
> How sophisticated investors affect market efficiency?
> How scheduled macroeconomic announcements affect stock market returns?
> Intermediary asset pricing and financial crisis etc.
> Perhaps herding behavior in financial markets is also important … though I don’t expect it in case of PSE.
May Allah bless you