... Siddique, the work has been done on his own time and using his own resources. © 2023 Campbell R. Harvey and Akhtar Siddique 2023 Campbell R. Harvey and Akhtar Siddique Licensed re-use rights only Factor models Trading costs Mispricing G11 G12 G14 The genesis of modern...

... and suggestions. © 2023 Dan Gabriel Anghel, Petre Caraiani, Alina Roşu and Ioanid Roşu 2023 Dan Gabriel Anghel, Petre Caraiani, Alina Roşu and Ioanid Roşu Licensed re-use rights only Factor models Trading costs Mispricing G11 G12 G14 An important goal of asset pricing...

... ) sample, but the four-factor model of Stambaugh and Yuan (2017) and thesix-factor model of Barillas and Shanken (2018) resolve the anomaly out of sample and over the extended period of 1967 to 2016. Finally, both models eliminate the arbitrage asymmetry that Stambaugh et al. (2015 ) propose...

... Licensed re-use rights only Idiosyncratic volatility Factor models Graphical diagnostic G11 G12 G14 In an influential paper, Ang et al. (2006) show that idiosyncratic volatility (IVOL) estimated using daily data is negatively correlated with expected returns in the cross...

... alone, and no other person or institution has any control over its content. © 2019 Hongtao Li, Robert Novy-Marx, and Mihail Velikov 2019 Hongtao Li, Robert Novy-Marx, and Mihail Velikov Licensed re-use rights only Asset pricing Liquidity Factor models Momentum G11 G12...