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Comparing Cross-Section and Time-Series Factor Models

Citations

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Cited by:

  1. Naffa, Helena & Fain, Máté, 2022. "A factor approach to the performance of ESG leaders and laggards," Finance Research Letters, Elsevier, vol. 44(C).
  2. Zhang, Ailian & Pan, Mengmeng & Zhang, Xuan, 2025. "The pricing ability of factor model based on machine learning: Evidence from high-frequency data in China," International Review of Economics & Finance, Elsevier, vol. 101(C).
  3. Choudhury, Tonmoy, 2025. "US sectors and geopolitical risk: The investor's perspective," Finance Research Letters, Elsevier, vol. 73(C).
  4. Skočir, Matevž & Lončarski, Igor, 2024. "On the importance of asset pricing factors in the relative valuation," Research in International Business and Finance, Elsevier, vol. 70(PB).
  5. Stephen Penman & Julie Zhu & Haofei Wang, 2023. "The implied cost of capital: accounting for growth," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1029-1056, October.
  6. Zhu, Haibin & Bai, Lu & He, Lidan & Liu, Zhi, 2023. "Forecasting realized volatility with machine learning: Panel data perspective," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 251-271.
  7. Zikai Wei & Anyi Rao & Bo Dai & Dahua Lin, 2023. "HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE," Papers 2306.02848, arXiv.org.
  8. Ai He & Dashan Huang & Jiaen Li & Guofu Zhou, 2023. "Shrinking Factor Dimension: A Reduced-Rank Approach," Management Science, INFORMS, vol. 69(9), pages 5501-5522, September.
  9. Cong Wang, 2024. "Stock return prediction with multiple measures using neural network models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-34, December.
  10. Cao, Jie & Zhan, Xintong & Zhang, Weiming & Zhang, Yaojia, 2023. "The return predictability of carbon emissions: Evidence from Hong Kong and Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  11. Allen, David, 2022. "Asset Pricing Tests, Endogeneity issues and Fama-French factors," MPRA Paper 113610, University Library of Munich, Germany.
  12. Fieberg, Christian & Osorio, Carlos & Poddig, Thorsten & Varmaz, Armin, 2026. "Enhancing index-tracking performance: Leveraging characteristic-based factor models for reduced estimation errors," European Journal of Operational Research, Elsevier, vol. 331(1), pages 278-291.
  13. Karolyi, G. Andrew & Wu, Ying, 2022. "Understanding the pricing of currency risk in global equity markets," Journal of Multinational Financial Management, Elsevier, vol. 63(C).
  14. Hassan Zada & Naveed Khan & Kai-Yin Woo & Sana Gaied Chortane, 2025. "Asset Pricing: A Comparative Analysis of Fama-French Five-Factor with Human Capital-Based Six-Factor Model," Advances in Decision Sciences, Asia University, Taiwan, vol. 29(4), pages 1-37.
  15. Penman, Stephen & Zhu, Julie, 2022. "An accounting-based asset pricing model and a fundamental factor," Journal of Accounting and Economics, Elsevier, vol. 73(2).
  16. Zikai Wei & Bo Dai & Dahua Lin, 2022. "Factor Investing with a Deep Multi-Factor Model," Papers 2210.12462, arXiv.org.
  17. Smith, Simon C., 2022. "Time-variation, multiple testing, and the factor zoo," International Review of Financial Analysis, Elsevier, vol. 84(C).
  18. Dapeng Li & Feiyang Pan & Jia He & Zhiwei Xu & Dandan Tu & Guoliang Fan, 2023. "Style Miner: Find Significant and Stable Explanatory Factors in Time Series with Constrained Reinforcement Learning," Papers 2303.11716, arXiv.org.
  19. Damir Filipovic & Paul Schneider, 2024. "Fundamental Properties of Linear Factor Models," Papers 2409.02521, arXiv.org, revised Sep 2026.
  20. Songrun He, 2026. "Interpretable Systematic Risk around the Clock," Papers 2604.13458, arXiv.org.
  21. Vinay Khandelwal & Prashant Sharma & Varun Chotia, 2023. "ESG Disclosure and Firm Performance: An Asset-Pricing Approach," Risks, MDPI, vol. 11(6), pages 1-22, June.
  22. Guillaume Coqueret, 2022. "Characteristics-driven returns in equilibrium," Papers 2203.07865, arXiv.org.
  23. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
  24. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).
  25. Nina Ryan & Xinfeng Ruan & Jin E. Zhang & Jing A. Zhang, 2021. "Choosing Factors for the Vietnamese Stock Market," JRFM, MDPI, vol. 14(3), pages 1-23, February.
  26. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2025. "Predicting commodity returns: Time series vs. cross sectional prediction models," Journal of Commodity Markets, Elsevier, vol. 38(C).
  27. Han, Linzhi & Li, Jiawen, 2025. "Does green finance reform promote corporate carbon emission reduction? Evidence from China's green finance reform and innovation pilot zones," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 2091-2111.
  28. Chen, Shan & Li, Tao, 2025. "A unified duration-based explanation of the value, profitability, and investment anomalies," Journal of Empirical Finance, Elsevier, vol. 84(C).
  29. Wang, Jinzhe & Zhu, Yifeng, 2024. "A comparison of factor models in China," Journal of Empirical Finance, Elsevier, vol. 79(C).
  30. Wei Liu & James W. Kolari, 2022. "Multifactor Market Indexes," JRFM, MDPI, vol. 15(4), pages 1-26, March.
  31. Chen, Shan & Liu, Xujun & Li, Tao, 2023. "Does the investment-profitability correlation affect the factor premiums? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  32. Lin, Hung-Wen & Huang, Jing-Bo & Lin, Kun-Ben & Zhang, Joyce & Chen, Shu-Heng, 2020. "Which is the better fourth factor in China? Reversal or turnover?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  33. Li, Bo & Liu, Zhenya & Teka, Hanen & Wang, Shixuan, 2023. "The evolvement of momentum effects in China: Evidence from functional data analysis," Research in International Business and Finance, Elsevier, vol. 64(C).
  34. Rudkin, Wanling & Cai, Charlie X. & Zhou, You, 2025. "Can we enhance investment with ESG?," International Review of Financial Analysis, Elsevier, vol. 97(C).
  35. Antoinette Schoar & Kelvin Yeung & Luo Zuo, 2020. "The Effect of Managers on Systematic Risk," NBER Working Papers 27487, National Bureau of Economic Research, Inc.
  36. Vidal-Llana, Xenxo & Guillén, Montserrat, 2022. "Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  37. Dandan Ma & Pengxiang Zhai & Dayong Zhang & Qiang Ji, 2024. "Excess stock returns and corporate environmental performance in China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-30, December.
  38. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  39. Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2022. "Momentum and the Cross-section of Stock Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  40. Ouyang, Xuan & Zhang, Weiguo & Gong, Xue, 2026. "Stock returns forecasting via a novel machine learning method," International Review of Financial Analysis, Elsevier, vol. 110(C).
  41. Hilal Anwar Butt & James W. Kolari & Mohsin Sadaqat, 2024. "Market volatility, momentum, and reversal: a switching strategy," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 460-478, September.
  42. Han, Han & Zhao, Xueqing & Wang, Zhibin, 2023. "The effect of stock pledge on corporate fraudulence: Evidence from China," Finance Research Letters, Elsevier, vol. 57(C).
  43. Zikai Wei & Bo Dai & Dahua Lin, 2023. "E2EAI: End-to-End Deep Learning Framework for Active Investing," Papers 2305.16364, arXiv.org.
  44. Peter Chinloy & Matthew Imes, 2025. "The endogeneity of profitability and investment," Review of Quantitative Finance and Accounting, Springer, vol. 65(2), pages 691-726, August.
  45. Hung-Wen Lin & Jing-Bo Huang & Kun-Ben Lin & Shu-Heng Chen, 2022. "The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 577-612, April.
  46. James W. Kolari & Jianhua Z. Huang & Wei Liu & Huiling Liao, 2022. "Further Tests of the ZCAPM Asset Pricing Model," JRFM, MDPI, vol. 15(3), pages 1-23, March.
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