Hot Questions on Asset Pricing: An Interview with an LLM-Based Professor
The video explores hot questions on asset pricing grouped into the following four categories:
- Severity and longevity of gap between theory and empirics
- Missing implementation of state of nature
- Incompatibility of all-in flat description for heterogenous anomalies
- Review of proposed hierarchical state-based asset pricing model
Uncovering Momentum
In this post we review our latest studies leading to the explanation of the momentum premium, a long-term ongoing challenge. Documented in 1993 by Jegadeesh and Titman, the momentum phenomenon remained an open question with no single model dominating the narrative (Fama on Momentum, 2016). Our research transparently explains the momentum premium for 2010-2019 as the sampling of high volatility growth stocks. These results were derived through a sequence of two SSRN working papers.
