This paper establishes an econometric framework to construct a systematic risk factor from textual data, by linking a beta pricing model with a language model based on machine learning techniques. In this framework, the distributions of stock returns and words in associated documents are determined by a common underlying systematic risk factor (text-implied risk). The exposure to the text-impli...

When consumption betas of stocks are computed using year-over-year consumption growth based upon the fourth quarter, the consumption-based asset pricing model (CCAPM) explains the cross-section of stock returns as well as the Fama and French (1993) three-factor model. The CCAPM's performance deteriorates substantially when consumption growth is measured based upon other quarters. For the CCAPM ...

This paper establishes an econometric framework to construct a systematic risk factor from textual data, by linking a beta pricing model with a language model based on machine learning techniques. In this framework, the distributions of stock returns and words in associated documents are determined by a common underlying systematic risk factor (text-implied risk). The exposure to the text-impli...

Fama and French (1992) show that size and book-to-price dominate CAPM beta and other variables such as the price-earnings ratio and dividend yield in explaining the cross-section of US stock returns. Comparable evidence for the UK points to a book-to-price effect, but not a size effect (Chan and Chui, 1996; Strong and Xu, 1997). In this paper, our first contribution is to show that a measure of...

Equity markets are increasingly seen as important sources of investment funds in many emerging economies. Furthermore, many countries see the development of such markets as a means to facilitate both foreign equity portfolio investment and foreign direct investment (FDI). This may occur through acquisition of shareholdings in domestic companies, which supplements the low levels of funding from ...

to achieve the optimal model for capital asset pricing has always been a central issue in studies of the financial field. in this study we consider fama and french three-factor model augmented by the pastor and stambaugh (2003) liquidity risk factor. unlike most previous studies in this model, stock level beta is allowed to vary with firm-level size and book-to-market value. to verify the above...

We present a brief overview of empirically supported risk factors of bulimic behavior. We then propose an empirically supported, interactive, three-factor model of bulimic symptom occurrence from which we derive clinical implications for assessment, treatment, and prevention. Our research finds that perfectionism, body dissatisfaction, and self-esteem interact to predict bulimic symptoms. In pa...

The present study analyzed the psychometric proprieties of the Adult Inventory of Procrastination (AIP) by McCown and Johnson (1989) with an adult Italian sample (n = 305) by comparing three construct models. Models included: 1) the original uni-dimensional structure; 2) a Spanish model with two components — lack of punctuality and lack of planning (Díaz Morales, Ferrari, Diaz, & Argumendo, 200...

The current research investigates the factors influencing patient satisfaction with pharmacy services at King Fahd Armed Forces Hospital (KFAFH). This research proposes and tests a three-factor model that influence patient satisfaction. These factors include accessibility, availability of medications, and pharmacy staff attitude as independent variables, while the dependent variable is patient ...