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 ...

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. ...

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 ...

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 ...