Bubbles And Multiple-Factor Asset Pricing Models
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DOI: 10.1142/S0219024916500072
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Cited by:
- Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
- Liao Zhu & Haoxuan Wu & Martin T. Wells, 2021. "A News-based Machine Learning Model for Adaptive Asset Pricing," Papers 2106.07103, arXiv.org.
- Kazuhiro Hiraki & George Skiadopoulos, 2018. "The Contribution of Frictions to Expected Returns," Working Papers 874, Queen Mary University of London, School of Economics and Finance.
- Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.
- Robert Jarrow, 2018. "An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-33, June.
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Keywords
Beta model; multiple-factor model; price bubbles; arbitrage pricing; stock alpha;All these keywords.
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