..., causing the two yields to converge as stock prices rise and bond prices fall. Asset pricing Stock returns Bond returns Fixed income and bond Fed model Predictability Forecasts Financial markets Financial ratios Stock market C22 G12 The Fed model suggests a long-run stable...

... 2022 18 12 2022 14 01 2023 © Emerald Publishing Limited 2023 Emerald Publishing Limited Licensed re-use rights only High-speed railway Urban construction investment bond Yield spread Financing cost Implicit debt of local government Corporate governance Asset pricing...

...–Serrano Riskiness Index, thus strengthening the CAPM methodology for asset pricing in the financial markets. Originality/value This research sheds a new light, both in theory and in practice, on understanding of the risk’s structure, as it may improve accuracy of asset pricing. Doron Nisani can...

... Business ethics Behavioral finance Asset pricing Investment Portfolio theory Analyzing the association between sustainability and returns is common in the literature [ 2 ]. However, there is still no agreement yet on whether any association de facto exists (Cornell, 2021). Usually...

...John Galakis; Ioannis Vrontos; Panos Xidonas Purpose This study aims to introduce a tree-structured linear and quantile regression framework to the analysis and modeling of equity returns, within the context of asset pricing. Design/Methodology/Approach The approach is based on the idea...

... pressure, while these traders may be more limited in their ability to short during periods of diminished sentiment (Stambaugh et al., 2012). Investor sentiment Asset pricing Return predictability G11 G12 A substantial literature links investor sentiment with misvaluation...

... market, namely, Turkey. Design/methodology/approach This study follows Liu et al. (2016) and incorporates liquidity risk and transaction costs into the traditional consumption-based asset-pricing model (CCAPM) from 2009 to 2017. Effective transaction costs are estimated a la Hasbrouck (2009...

... be contacted at: wikrom.prombutr@csulb.edu 29 03 2017 15 10 2017 22 12 2017 12 05 2018 04 07 2018 © Emerald Publishing Limited 2019 Emerald Publishing Limited Licensed re-use rights only Anomaly Behavioural finance Asset pricing Investment growth Previous...

.... In particular, the asset pricing results cast doubt on whether a factor mimicking innovations in aggregate volatility based on the new VIX index is priced. In agreement with prior research, the author believes that the inseparability of volatility and jump risk in the VIX can be a possible explanation...

... of liquidity of the investor's asset holdings. © Emerald Group Publishing Limited 2004 transaction costs liquidity optimal portfolio asset pricing Volume 3 Number 4 2004 Transaction Costs and Asset Valuation by Bong-Gyu Jang, Dept. of Mathematics, KAIST, 305-701, Daejeon, Korea; Hyeng Keun Koo...