Factor Investing & Asset Pricing

Betting markets are gaining in popularity. Mean beliefs generally differ from prices in prediction markets. Logarithmic utility is employed to study the risk and return adjustments to prices. Some consequences are described. A modified payout structure is proposed. A simple asset price model based o

This paper introduces a Large Language Model (LLM)-based multi-agent framework designed to enhance anomaly detection within financial market data, tackling the longstanding challenge of manually verifying system-generated anomaly alerts. The framework harnesses a collaborative network of AI agents,

AI stocks trade at extraordinary valuations. We develop an asset pricing model in which investors use AI stocks to hedge against an AI singularity that displaces their consumption. Because markets are incomplete – investors cannot trade private AI capital – AI stocks command a premium. Market inco

We analyse the effect of a proportional wealth tax on asset returns, portfolio choice, and asset pricing. The tax is levied annually on the market value of all holdings at a uniform rate. We show that such a tax is economically equivalent to the government acquiring a proportional stake in the inves

This article’s aim is to provide the solution to the equity premium puzzle without using calibrated values. Calibrated values of subjective time discount factor were used in my prior derived models because 4 variables were determined from 3 different equations. Furthermore, calculated values and ris

Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance and investment, as it changes the classical return-risk view of investment by incorporating an additional dimension of investment performance: the ESG score of the investment. We define the ESG price process and i

This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of locally explosive bubble dynamics, capturing the micro-level

Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can take various unexpected market behaviors into account to modify

I identify a new signaling channel in ESG research by empirically examining whether environmental, social, and governance (ESG) investing remains valuable as large institutional investors increasingly shift toward artificial intelligence (AI). Using winsorized ESG scores of S&P 500 firms from Yahoo

Trend following and momentum investing are common strategies employed by asset managers. Even though they can be helpful in the proper situations, they are limited in the sense that they work just by looking at past, as if we were driving with our focus on the rearview mirror. In this paper, we advo

Spanish Abstract: La Prima de Riesgo del Mercado es uno de los parámetros financieros más investigados y controvertidos, y también uno de los que más con

This study examines short-term market responses to material cybersecurity incidents disclosed under Item 1.05 of Form 8-K. Drawing on a sample of disclosures made between 2023 and 2025, daily stock price movements were evaluated over a standardized event window surrounding each filing. On average, c

This study conducted a comprehensive review of 71 papers published between 2000 and 2021 that employed various measures of investor sentiment to model returns. The analysis indicates that higher complexity of sentiment measures and models improves the coefficient of determination. However, there was

Spanish Abstract: Este documento resume 1.502 respuestas a una encuesta por realizada a directivos de empresas, a analistas y a profesores de universidad

The size effect in finance literature refers to the observation that smaller firms have higher returns than larger firms, on average over long horizons. It also

The efficient markets hypothesis (EMH) maintains that market prices fully reflect all available information. Developed independently by Paul A. Samuelson and Eu

We discuss the economic reasons why the predictions of price and return statistical moments in the coming decades, in the best case, will be limited by their averages and volatilities. That limits the accuracy of the forecasts of price and return probabilities by Gaussian distributions. The economic

The battle between proponents of the Efficient Markets Hypothesis and champions of behavioral finance has never been more pitched, and little consensus exists a

One of the most influential ideas in the past 30 years is the Efficient Markets Hypothesis, the idea that market prices incorporate all information rationally a

The global momentum towards establishing sustainable energy systems has become increasingly prominent. Hydrogen, as a remarkable carbon-free and renewable energy carrier, has been endorsed by 39 countries at COP28 in the UAE, recognizing its essential role in global energy transition and industry de