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Can Vice be Vindicated? Examining a potential value premium in vice stocks using Fama and MacBeth regressions - a comparison across three different factor models
In this paper, we examine a 30-year period to find whether vice (defined as operations in the alcohol, tobacco, gambling, adult services, and weapons and defense industries) plays a role in determining returns of individual ...
Predicting Asset Prices with Machine Learning
This study examines whether machine learning techniques such as neural networks contain predictability when modeling asset prices and if they can improve on asset pricing prediction compared to traditional OLS-regressions. ...
Principal Component Analysis and the Cross-Sectional Variation of Returns
We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high ...
Downside risk: is downside risk being priced in the U.S. stock market?
This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. The study also examines and compares how well the Fama-French ...