Factor Investing & Asset Pricing

We study an overlapping generations (OLG) exchange economy with an asset that yields dividends. First, we derive general conditions, based on exogenous parameters, that give rise to three distinct scenarios: (1) only bubbleless equilibria exist, (2) a bubbleless equilibrium coexists with a continuum

This paper builds on “Collective Arbitrage and the Value of Cooperation” by Biagini et al. (2025, forthcoming in “Finance and Stochastics”), which introduced in discrete time the notions of collective arbitrage and super-replication in a multi-agent market framework, where agents may operate in seve

In this study, we consider the asset pricing under model uncertainty with discrete time and states structure. For the single-period securities model, we give a novel definition of arbitrage under a family of probability, and explore of its relationship with risk neutral probability measure. Focusing

The stock segment of China’s time-honored brand enterprises has an important position in our securities stock market. The holiday effect is one of the market anomalies that occur in the securities market, which refers to the phenomenon that the stock market has significantly different returns than o

Our previous research has confirmed that the USD/JPY rate tends to rise toward 9:55 every morning in the Gotobi days, which are divisible by five. This is called the Gotobi anomaly. In the present study, we verify the possible trading strategy and its validity under the condition that investors reco

Motivated by discrete price quotes in continuous time, we seek a fundamental theorem based on no arbitrage rather than a condition on limiting trading opportunities. We consider a vector of discounted prices taking values in a locally finite subset of $R^d$ in continuous time. For a locally bounded

We study the data-generating processes for factors expressed in return differences, which the literature on time-series asset pricing seems to have overlooked. For the factors’ data-generating processes or long-short zero-cost portfolios, a meaningful definition of returns is impossible; further, th

This document presents a stock market analysis conducted on a dataset consisting of 750 instances and 16 attributes donated in 2014-10-23. The analysis includes an exploratory data analysis (EDA) section, feature engineering, data preparation, model selection, and insights from the analysis. The Fam

We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no-arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask pr

This study presents empirical evidence to support the validity of new definitions in financial markets. The author develops a new method to determine investors’ risk attitudes in financial markets. The risk attitudes of investors in US financial markets from 1889-1978 are analyzed and the results in

Form 10-K report is a financial report disclosing the annual financial state of a public company. It is an important evidence to conduct financial analysis, i.e., asset pricing, corporate finance. Practitioners and researchers are constantly designing algorithms to better conduct analysis on informa

This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements: (i) there exists a supermartingale numéraire portfolio; (ii

In this study, we investigate asset price bubbles in a discrete-time, discrete-state market under model uncertainty and short sales prohibitions. Building on a new fundamental theorem of asset pricing and a superhedging duality in this setting, we introduce a notion of bubble based on a novel defini

We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein–Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure. is calculated.

Corruption, fraud, and unethical activities have emerged as significant obstacles to global economic, political, and social progress. Although many empirical studies have focused on country-level corruption metrics, this study is the first to utilize a substantial international dataset to assess the

This paper delves into the dynamics of asset pricing within Bachelier market model, elucidating the representation of risky asset price dynamics and the definition of riskless assets.

We consider a rational agent who at time $0$ enters into a financial contract for which the payout is determined by a quantum measurement at some time $T>0$. The state of the quantum system is given in the Heisenberg representation by a known density matrix $\hat p$. How much will the agent be willi

We introduce a discrete binary tree for pricing contingent claims with the underlying security prices exhibiting history dependence characteristic of that induced by market microstructure phenomena. Example dependencies considered include moving average or autoregressive behavior. Our model is marke

We extend the limited participation model in Basak and Cuoco (1998) to allow for traders with different time-preference coefficients but identical constant relative risk-aversion coefficients. Our main result gives parameter restrictions which ensure the existence of a Radner equilibrium. As an appl

Although the valuation of life contingent assets has been thoroughly investigated under the framework of mathematical statistics, little financial economics research pays attention to the pricing of these assets in a non-arbitrage, complete market. In this paper, we first revisit the Fundamental The