Multifactor Asset Pricing Models
Chapter reviews multifactor asset pricing models, their evolution, and the use of machine learning in asset pricing.
What it examines
This chapter reviews the evolution of asset pricing models, from the CAPM to multifactor models and machine learning approaches, addressing their empirical performance and theoretical foundations. It aims to explore the complexities and practical challenges in implementing these models in real-world investment scenarios.
What it concludes
The chapter suggests that while multifactor models improve asset pricing accuracy, their complexity poses implementation challenges. Machine learning offers a promising direction for future research. Potential applications include more accurate investment strategies and better risk management in portfolio management.
Evidence objects
The chapter suggests that while multifactor models improve asset pricing accuracy, their complexity poses implementation challenges. Machine learning offers a promising direction for future research. Potential applications include more accurate investment strategies and better risk management in portfolio management.
key_findings bullet 1 · key_findings · validation V0
Raw abstract and provenance
Multifactor Asset Pricing Models | SpringerLink Skip to main content Advertisement Log in Menu Find a journal Publish with us Track your research Search Cart Home Professional Investment Portfolio Management Chapter Multifactor Asset Pricing Models Chapter First Online: 04 February 2024 pp 43?55 Cite this chapter Professional Investment Portfolio Management James W. Kolari 4 , Wei Liu 5 & Seppo Pynn?nen 6 214 Accesses Abstract As discussed in Chapter 2 , early empirical evidence on the CAPM by Sharpe ( Journal of Finance 19: 425?442, 1964) and others using the market model to perform tests using U.S. stock returns was disappointing. The Security Market Line (SML) relating market beta risk to average stock returns was flatter with a higher intercept (or alpha) than expected. In an attempt to fix the problem, Black ( Journal of Business 45:444?454, 1972) proposed the zero-beta CAPM with the zero-beta portfolio return replacing the riskless rate in the CAPM. Merton ( Econometrica 41:867?8
Source row: 1405 · abstract type: unknown