68 citations · 85 across the 3 of their papers we have counts for
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q-fin.PR2017★ 7 cited
Non-parametric and semi-parametric asset pricing
Peter Erdos, Mihaly Ormos, David Zibriczky
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furth…
q-fin.PR2015★ 68 cited
Entropy-Based Financial Asset Pricing
Mihaly Ormos, David Zibriczky
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory…