Developing "Multifactor Asset Pricing Models" Using Threshold Regression Approach and Credit Risk Factor
Objective This study aims to develop threshold asset pricing models to enhance the performance of common multi-factor models. Over the past thirty years, asset pricing models have evolved by incorporating pricing anomalies as new factors that previous models could not explain, leading to the introdu...
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| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2025-03-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_101363_9577e514339be70fe2b23f93fac8292f.pdf |
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