We selectively review recent advancements in research on predictive models of earnings
and returns. We discuss why applying statistical, econometric, and machine learning …

This article provides an alternative theoretical framework to explain investors' irrational
behaviours in finance theories (mainly asset pricing) based on psychoanalysis approach …

We show that quantile regression is better than ordinary-least-squares (OLS) regression in
forecasting profitability for a range of profitability measures following the conventional setup …

We study the effect of decision making through misinformation correction of financial news
through corporate clarification announcements. We adopt the quantile regression method …

We analyze the influence of the Chinese lunar calendar and superstitions on holiday
preferences using theories on time and mood to identify investor sentiment. Trading …

Firm characteristics based risk factors constitute a large part of the asset pricing literature.
These characteristic based factors are constructed using the extreme quantiles of the sorted …

This paper proposes a quasi‐rational multi‐factor stock‐pricing determinants model with
fundamental (rational) and behavioural (irrational) risk factors that highlight academic and …

Abstract Model averaging for forecasting and mixed estimation is a recognized improved
statistical approach. This paper is a first report on:(1). aggregate information from different …

This paper offers an alternative perspective on determinants of equity risk using behavioural
asset pricing ideology in a factor and style investing framework. First, a quasi-rational …

In previous chapters, we introduced classical mean–variance methodologies. Classical
methodologies have been used widely in risk management, such as the use of standard …