<oai_dc:dc xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
  <dc:creator>Distaso, Walter</dc:creator>
  <dc:creator>Mele, Antonio</dc:creator>
  <dc:creator>Vilkov, Grigory</dc:creator>
  <dc:date>2024</dc:date>
  <dc:description xmlns:ns0="xml" ns0:lang="en">Many asset pricing models assume that expected returns are driven by common factors. We formulate a model where returns are driven by a string, and no-arbitrage restricts each expected return to capture the asset’s granular exposure to all other asset returns: a correlation premium. The model predicts fresh properties for big stocks, which display higher connectivity in bad times, but also work as correlation hedges: they contribute to a negative fraction of the correlation premium, and portfolios that are more exposed to them command a lower premium. The string model performs at least as well as many existing linear factor models.</dc:description>
  <dc:format>application/pdf</dc:format>
  <dc:identifier>https://n2t.net/ark:/12658/srd1330149</dc:identifier>
  <dc:identifier>https://susi.usi.ch/global/documents/330149</dc:identifier>
  <dc:identifier>https://susi.usi.ch/documents/330149/files/Mele_2024_Quant Finance_Cross-section without factors.pdf</dc:identifier>
  <dc:language>eng</dc:language>
  <dc:relation>info:eu-repo/semantics/altIdentifier/doi/10.1080/14697688.2024.2357189</dc:relation>
  <dc:relation>info:eu-repo/semantics/altIdentifier/ark/12658/srd1330149</dc:relation>
  <dc:rights>info:eu-repo/semantics/openAccess</dc:rights>
  <dc:rights>CC BY</dc:rights>
  <dc:source>Quantitative Finance. - 2024, vol. 24, no. 6, p. 693–718</dc:source>
  <dc:subject xmlns:ns1="xml" ns1:lang="en">String models</dc:subject>
  <dc:subject xmlns:ns2="xml" ns2:lang="en">Correlation premium</dc:subject>
  <dc:subject xmlns:ns3="xml" ns3:lang="en">Premium for correlation risk</dc:subject>
  <dc:subject xmlns:ns4="xml" ns4:lang="en">Cross-section of returns</dc:subject>
  <dc:subject xmlns:ns5="xml" ns5:lang="en">Big stocks</dc:subject>
  <dc:subject xmlns:ns6="xml" ns6:lang="en">Arbitrage pricing</dc:subject>
  <dc:subject xmlns:ns7="xml" ns7:lang="en">Implied correlation</dc:subject>
  <dc:subject>info:eu-repo/classification/udc/33</dc:subject>
  <dc:title xmlns:ns8="xml" ns8:lang="en">Cross-section without factors : a string model for expected returns</dc:title>
  <dc:type>http://purl.org/coar/resource_type/c_6501</dc:type>
</oai_dc:dc>