We investigate carbon risk in global equity prices. We develop a measure of carbon risk
using industry standard databases and study return differences between brown and green …

A new class of Capital Asset Pricing Models (CAPM) arises from the first principle of real
investment for individual firms. Conceptually as 'causal'as the consumption CAPM, yet …

We are the first to compare the explanatory power of the major empirical asset pricing
models over equity anomalies in the frontier markets. We replicate over 160 stock market …

We compared classic and contemporary asset pricing factor models in explaining
anomalous returns in the Pakistani stock market using a sample of 290 companies listed on …

In this paper, we show that the relation between expected investment and future stock
returns (ie, the expected investment–return relation) is negative and inconsistent with the …

This paper sheds light on a new perspective of the" factor zoo enigma", in which factor
correlation prevails and distorts inferences from standard approaches such as Fama …

Cochrane (2011) points out that the burgeoning characteristic-related” factor zoo” to explain
the average returns in equity market are in disarray. This paper introduces a newly …

We test whether the size, management, and performance factors in a recent mispricing factor
model are related to future investment opportunities. Our results indicate that the …

Hundreds of anomaly variables have been proposed, claiming explanatory power to the
cross-section of average returns in equity market. Cochrane (2011) dubs this phenomenon …

This thesis looks at the differences between the q-factor asset pricing model (Hou, Xue, and
Zhang, 2015) factors constructed from manufacturing sector stocks and the factors created …