1. Deep Learning for Conditional Asset Pricing Models. (2025). Liu, Hongyi.
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   RePEc:arx:papers:2509.04812.

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2. Dynamic portfolio optimization with inverse covariance clustering. (2023). Wang, Yuanrong ; Aste, Tomaso.
   In: LSE Research Online Documents on Economics.
   RePEc:ehl:lserod:117701.

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3. Which factor model? A systematic return covariation perspective. (2023). Bu, Ziwen ; Ahmed, Shamim ; Symeonidis, Lazaros ; Tsvetanov, Daniel.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669.

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4. Can a dynamic correlation factor improve the pricing of industry portfolios?. (2023). Boovi, Milo.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322008029.

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5. International tests of the ZCAPM asset pricing model. (2022). Huang, Jianhua Z ; Kolari, James W ; Liao, Huiling ; Butt, Hilal Anwar.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000853.

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6. Economic evaluation of asset pricing models under predictability. (2022). Hansen, Erwin.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:68:y:2022:i:c:p:50-66.

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7. Asymmetries in risk premia, macroeconomic uncertainty and business cycles. (2022). Görtz, Christoph ; Yeromonahos, Mallory ; Gortz, Christoph.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000355.

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8. Exchange Rate Sensitivity of Firm Value: Evidence from Nonfinancial Firms Listed on Borsa Istanbul. (2021). Yilmaz, Muhammed Hasan ; Kuuksara, Doruk ; Guney, Brahim Ethem ; Kazdal, Abdullah.
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9. Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles. (2021). Görtz, Christoph ; Yeromonahos, Mallory ; Gortz, Christoph.
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   RePEc:rim:rimwps:21-25.

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10. Data snooping in equity premium prediction. (2021). Neuhierl, Andreas ; Drobetz, Wolfgang ; Wendt, Viktoria-Sophie ; Dichtl, Hubert.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94.

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11. Illiquidity contagion and pricing of commonality risk: Evidence from a dynamic conditional correlation model. (2021). Hueng, C. ; Huang, Peng ; Beyene, Nardos.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320302993.

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12. Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Chiang, I-Hsuan Ethan ; Liao, Yin ; Zhou, Qing.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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13. The importance of cash flow disclosure and cost of capital. (2020). Kent, Richard Anthony ; Bu, DI.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:60:y:2020:i:s1:p:877-908.

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14. Asset prices and economic fluctuations: The implications of stochastic volatility. (2017). Xiong, Xiong ; Zhu, Xiaoneng ; Chen, Junping .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:64:y:2017:i:c:p:128-140.

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15. Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:17:y:2017:i:2:p:289-324.

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16. The Predictive Performance of Asset Pricing Models: Evidence from the Australian Securities Exchange. (2016). Drew, Michael ; Bianchi, Robert ; Whittaker, Timothy.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:19:y:2016:i:04:n:s0219091516500235.

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17. Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?. (2016). GUPTA, RANGAN ; Aye, Goodness C.
    In: Panoeconomicus.
    RePEc:voj:journl:v:63:y:2016:i:3:p:273-291.

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18. Cost of Capital in Emerging Markets: Bridging Gaps between Theory and Practice. (2016). Walker, Eduardo.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:53:y:2016:i:1:p:111-147.

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19. The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36.

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20. Can currency-based risk factors help forecast exchange rates?. (2016). Valente, Giorgio ; Liu, Xiaoquan ; Ahmed, Shamim.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:1:p:75-97.

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21. Dynamic factors and asset pricing: International and further U.S. evidence. (2015). He, Zhongzhi ; Zhu, Xiaoneng.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:32:y:2015:i:c:p:21-39.

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22. Multi-factor volatility and stock returns. (2015). He, Zhongzhi ; Zhu, Xiaoneng.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s132-s149.

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23. Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk. (2015). Christoffersen, Peter ; Karoui, Mehdi ; Fournier, Mathieu ; Jacobs, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-54.

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24. Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?. (2014). GUPTA, RANGAN ; Aye, Goodness C. ; Deale, Frederick W..
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    RePEc:pre:wpaper:201422.

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25. Forecasting the Equity Risk Premium: The Role of Technical Indicators. (2014). Neely, Christopher ; Tu, Jun ; Zhou, Guofu ; Rapach, David E.
    In: Management Science.
    RePEc:inm:ormnsc:v:60:y:2014:i:7:p:1772-1791.

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26. The “out-of-sample” performance of long run risk models. (2013). Xie, Biqin ; Ferson, Wayne ; Nallareddy, Suresh.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:3:p:537-556.

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27. The Out of Sample Performance of Long-run Risk Models. (2012). Xie, Biqin ; Ferson, Wayne ; Nallareddy, Suresh K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17848.

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28. Do expected business conditions explain the value premium?. (2012). Fong, Wai Mun.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:2:p:181-206.

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29. On the power of cross-sectional and multivariate tests of the CAPM. (2009). Janmaat, John ; Grauer, Robert R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:5:p:775-787.

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30. Spurious Regressions in Financial Economics?. (2002). Simin, Timothy ; Sarkissian, Sergei ; Ferson, Wayne.
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    RePEc:nbr:nberwo:9143.

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31. Performance Evaluation with Stochastic Discount Factors. (2002). Ferson, Wayne ; Todd, Steven ; Farnsworth, Heber ; Jackson, David.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8791.

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2. Should employers pay their employees better? An asset pricing approach. (2016). Aboura, Sofiane ; Valeyre, Sebastien ; Liu, Qian ; Bonnin, Francois ; Grebenkov, Denis.
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14. Is illiquidity risk priced? The case of the Polish medium-size emerging stock market. (2014). Olbrys, Joanna.
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20. Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas. (2014). Samartzis, Panagiotis ; Kourogenis, Nikolaos ; Koundouri, Phoebe ; Pittis, Nikitas.
    In: DEOS Working Papers.
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21. A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?. (2013). Wagner, Niklas ; Winter, Elisabeth .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:21:y:2013:i:c:p:69-85.

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22. Do the production-based factors capture the time-varying patterns in stock returns?. (2013). Kang, Jangkoo ; Lee, Changjun.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:15:y:2013:i:c:p:122-135.

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23. A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management. (2013). Lisi, Francesco ; Caporin, Massimiliano.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:236-249.

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24. Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas. (2013). Samartzis, Panagiotis ; Kourogenis, Nikolaos ; Koundouri, Phoebe ; Pittis, Nikitas.
    In: DEOS Working Papers.
    RePEc:aue:wpaper:1318.

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25. Does Mutual Fund Performance Vary over the Business Cycle?. (2012). Lynch, Anthony W. ; de Souza, Andre.
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26. Empirical cross-sectional asset pricing: a survey. (2012). Goyal, Amit.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:3-38.

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27. Large changes in stock prices: Market, liquidity, and momentum effect. (2012). Lin, Chih-Yung ; Shieh, Shwu-Jane ; Ho, Po-Hsin.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:52:y:2012:i:2:p:183-197.

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28. Sell-order liquidity and the cross-section of expected stock returns. (2012). Subrahmanyam, Avanidhar ; Brennan, Michael ; Chordia, Tarun ; Tong, Qing.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:105:y:2012:i:3:p:523-541.

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29. Size, value, and momentum in international stock returns. (2012). French, Kenneth ; Fama, Eugene F..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:105:y:2012:i:3:p:457-472.

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30. What explains the investment growth anomaly?. (2012). Zhang, Ying ; Prombutr, Wikrom ; Phengpis, Chanwit.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:9:p:2532-2542.

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31. Do industries matter in explaining stock returns and asset-pricing anomalies?. (2012). Ho, Po-Hsin ; Chou, Pin-Huang ; Ko, Kuan-Cheng.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:2:p:355-370.

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32. The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks. (2012). Badreddine, Sina ; Holmes, Phil ; Galariotis, Emilios C..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:3:p:589-608.

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33. Enhancement of equity portfolio performance using data envelopment analysis. (2012). Pätäri, Eero ; Leivo, Timo ; Honkapuro, Samuli ; Patari, Eero.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:220:y:2012:i:3:p:786-797.

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34. The momentum effect on Chinese real estate stocks: Evidence from firm performance levels. (2012). Lee, Liang-Chien ; Huang, Gow-Liang ; Kuo, Chin-Tai.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:6:p:2392-2406.

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35. Hedge funds, managerial skill, and macroeconomic variables. (2011). Kosowski, Robert ; Naik, Narayan Y. ; Teo, Melvyn ; Avramov, Doron.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:3:p:672-692.

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36. Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas. (2011). Fisher, Adlai ; Boguth, Oliver ; Carlson, Murray ; Simutin, Mikhail.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:2:p:363-389.

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37. Informed momentum trading versus uninformed naive investors strategies. (2011). Hung, Chi-Hsiou ; Banerjee, Anurag.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:3077-3089.

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38. Are momentum profits driven by the cross-sectional dispersion in expected stock returns?. (2011). Bhootra, Ajay.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:14:y:2011:i:3:p:494-513.

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39. What should investors know about the stability of momentum investing and its riskiness? The case of the Australian Security Exchange. (2010). Galariotis, Emilios.
    In: Post-Print.
    RePEc:hal:journl:hal-00917587.

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40. Market liquidity risk factor and financial market anomalies: Evidence from the Chinese stock market. (2010). Narayan, Paresh ; Zheng, Xinwei.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:18:y:2010:i:5:p:509-520.

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41. What should we know about momentum investing? The case of the Australian Security Exchange. (2010). Galariotis, Emilios C..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:18:y:2010:i:4:p:369-389.

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42. Do relative leverage and relative distress really explain size and book-to-market anomalies?. (2010). Lin, Shinn-Juh ; Chou, Pin-Huang ; Ko, Kuan-Cheng.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:13:y:2010:i:1:p:77-100.

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43. Momentum, market states and investor behavior. (2009). Muga, Luis ; Santamaria, Rafael.
    In: Empirical Economics.
    RePEc:spr:empeco:v:37:y:2009:i:1:p:105-130.

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44. Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice. (2009). Frehen, Rik ; Schotman, P. C. ; Cosemans, M. ; Frehen, R. G. P., ; Bauer, R. M. M. J., .
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45. Investor sentiment as conditioning information in asset pricing. (2009). Hung, Chi-Hsiou ; Ho, Jerry.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:5:p:892-903.

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46. Credit ratings and the cross-section of stock returns. (2009). Philipov, Alexander ; Chordia, Tarun ; Jostova, Gergana ; Avramov, Doron.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:3:p:469-499.

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47. A Behavioural Approach To Financial Puzzles. (2008). ROGER, Patrick ; MERLI, Maxime ; Broihanne, Marie-Hélène.
    In: Working Papers of LaRGE Research Center.
    RePEc:lar:wpaper:2008-01.

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48. Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble. (2008). Leone, Vitor ; Leger, Lawrence.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:17:y:2008:i:3:p:228-244.

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49. Do mutual funds time the market? Evidence from portfolio holdings. (2007). Yu, Tong ; Yao, Tong ; Jiang, George J..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:86:y:2007:i:3:p:724-758.

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50. Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases. (2007). Paudyal, Krishna ; Lam, Herbert Y. T., ; Antoniou, Antonios.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:3:p:955-972.

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