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Zuo and the co-author, Andrew Jiang, generated an asset pricing model based on nearly four decades (1980–2018) of financial data from hundreds of companies, including well-known firms like Coca ...

Y. Peter Chung, Herb Johnson, Michael J. Schill, Asset Pricing When Returns Are Nonnormal: Fama‐French Factors versus Higher‐Order Systematic Comoments, The Journal of Business, Vol. 79, No. 2 (March ...

The Bloomberg MAC3 GRM suite of Multi-Asset risk models incorporates a number of advanced techniques that result in superior performance across portfolio types, geographies and investment styles ...

The Journal of Business, Vol. 79, No. 1 (January 2006), pp. 293-324 (32 pages) This paper develops and implements an exact finite‐sample test of asset pricing models with time‐varying risk premia ...

Bloomberg and Rockefeller Asset Management today announced the launch of the Bloomberg Rockefeller U.S. All Cap Multi-Factor ESG Improvers Index, available through the Bloomberg Terminal.