This study empirically tests and compares the performances of three famous financial asset
valuation models in the Moroccan stock exchange: CAPM, the Fama and French three-factor …

We investigate whether machine learning (ML) techniques, using a large set of financial and
macroeconomic variables, help to predict S&P 500 realized volatility and deliver economic …

We compare the performance of commonly employed asset pricing models on a large,
liquid, but mostly segmented Chinese A-shares equity market. When restricting ourselves to …

We study how asset pricing uncertainty affects the performance of a Bayesian mean-
variance investor's portfolio allocation decisions. The investor allocates their wealth between …

This research focuses on asset pricing with market microstructure, capturing transaction
costs and seasonality. It delves into the impact of non-stationarity with active trading on …

One of the most popular methods to measure the performance and success of the company
has become the economic value added. EVA supports strategic planning, and management …

With the frequent occurrence of mergers and acquisitions (M&As) by listed companies,
valuation has become an important component of the M&A process. This study first analyzes …

This article proposes an interpretable combination of factor investing with reinforcement
learning (RL) techniques. The agent learns by creating many virtual portfolios from …