03363nam 2201069z- 450 9910637778903321202212063-0365-5846-2(CKB)5470000001631750(oapen)https://directory.doabooks.org/handle/20.500.12854/94573(oapen)doab94573(EXLCZ)99547000000163175020202212d2022 |y 0engurmn|---annantxtrdacontentcrdamediacrrdacarrierFrontiers of Asset PricingBaselMDPI - Multidisciplinary Digital Publishing Institute20221 online resource (228 p.)3-0365-5845-4 This book is comprised of articles published in a Special Issue of the Journal of Risk and Financial Management entitled "Frontiers in Asset Pricing" with Guest Editors Professor James W. Kolari and Professor Seppo Pynnonen. The book contains papers in various areas related to asset pricing: (1) models; (2) multifactors; (3) theory; (4) empirical tests; (5) applications; (6) other asset classes; and (7) international tests.Philosophybicsscabnormal returnsannouncementsasset pricingat-the-moneybias adjustmentsBitcoincarry cost rateclustered event dayscommodity marketconditional hedge ratiocross-sectional correlationcryptocurrenciescumulated ranksdeep-out-of-the-moneydirectionearningseconomicsefficient market hypothesisefficient portfoliosevent studyexpectation-maximization (EM) regressionfinanceforecastingfree-boundary problemGARCH-jumphedge ratioinformed tradinglatent variablemarket factormarket indexmarket volumemetalsmomentummultifactorsnet buying pressureoptionsout-of-the-moneyoutlierspairs tradingPoisson modelportfolio profitabilitypricingrank testreturn dispersionrisk factorsS&P 500 indexspectral analysisstandardized abnormal returnsstochastic controlsurvivor stocksterm structuretime-varying jumpstrading strategiestransaction coststransaction regionsunit rootvolatilityyield spreadzero-beta CAPMPhilosophyKolari James Wedt850057Pynnönen SeppoedtKolari James WothPynnonen SeppoothBOOK9910637778903321Frontiers of Asset Pricing3023257UNINA