Research Topics in Finance: Asset Pricing

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Research Topics in Finance: Asset Pricing

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Investor sentiment: Does it augment the performance of asset pricing models?

Mispricing and the five-factor model

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?


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11 Comments

Yasir Kam

September 6, 2018at 1:59 pm

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.

    Attaullah Shah

    September 6, 2018at 4:05 pm

    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

Faisal Nawaz

September 6, 2018at 3:07 pm

some of the recent topics are contagion risk modeling for multivariate copula on different securities.

Sajid Khan Shinwari

September 7, 2018at 2:27 am

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.

Muhammad Asif Anjum

September 7, 2018at 2:27 am

Great efforts by sir atta Ullah shah. A real educationist.

C Mari

September 7, 2018at 11:52 am

Great job, these themes are important for any finance student

Lecturer Bahrawar Said

September 9, 2018at 12:25 am

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.

    Attaullah Shah

    September 9, 2018at 12:33 am

    Dear Bahrawar Said, thanks for your suggestions. I would appreciate your input in this regard.

Junaid Alam

September 9, 2018at 12:37 am

It will be quite helpful to the fresh students great effort

Nasim

September 9, 2018at 12:14 pm

All are Key topics of Finance. Great efforts sir it would be helpful for beginners.

Dr. Arshad Ali Bhatti

September 16, 2018at 6:44 pm

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

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