Capital asset pricing model

Field
Subfield
Domain
OpenAlex	C181236170

Smeal faculty

• Timothy T. Simin - score 3.4
• Joel M. Vanden - score 2.1
• Mihail Velikov - score 1.1
• Charles Whiteman - score 0.6
• Giang Nguyen - score 0.5

Papers

• Habit formation: a resolution of the equity premium puzzle? (2002) - cites 159
• The alpha factor asset pricing model: A parable (1999) - cites 131
• The Alpha Factor Asset Pricing Model: A Parable (1998) - cites 127
• The Poor Predictive Performance of Asset Pricing Models (2008) - cites 111
• Model Comparison with Transaction Costs (2023) - cites 84
• Option Coskewness and Capital Asset Pricing (2006) - cites 69
• Options Trading and the CAPM (2003) - cites 62
• Liquidity Risk and Asset Pricing (2019) - cites 53
• Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression (2008) - cites 52
• The (Poor) Predictive Performance of Asset Pricing Models (2006) - cites 15
• The Low-Risk Anomaly Revisited on High-Frequency Data (2015) - cites 2
• Equilibrium asset pricing and the cross section of expected returns (2021) - cites 1