In this era of disruption, AI, climate change, growing focus on ESG, fintech, and major geopolitical events like COVID-19, Russia-Ukraine, Israel-Palestine, United States-Iran conflicts, and changes in oil supply and prices have changed the dynamics and landscape of modern finance around the globe. It is now necessary to revisit the traditional asset pricing models, such as CAPM and Fama-French three, five, and six-factor models, in the context of the above-mentioned disruptions.
The special issue “Asset Pricing in the Age of Disruption: Proposing New Models, Exploring New Markets and New Risk Factors” aims to focus on research in asset pricing that incorporates how these disruptions impact portfolio returns. We invite research papers that provide any theoretical or empirical contribution to the current literature of the asset pricing domain.
Focus: The focus of this issue is asset pricing models that propose new factors, explore new emerging and frontier markets, incorporate new asset classes, and explore the impact of current systemic risks.
Scope: We invite manuscripts on a wide range of topics, including but not limited to emerging asset classes such as digital assets and cryptocurrency, machine learning applications in pricing models, application of asset pricing in emerging and frontier markets, incorporating sustainable finance (ESG) in asset pricing, and exploring the role of geopolitical risk in asset pricing models.
Purpose: The special issue provides an avenue for researchers to publish their cutting-edge research that opens new discussions on asset pricing.
The existing literature on asset pricing focuses only on traditional asset classes such as equities. At the same time, little attention is given to new asset classes such as cryptocurrencies, digital assets, unexplored emerging and frontier markets, specifically overlooking the importance of Environmental, Social, Governance (ESG), and the impact of systemic risk such as COVID-19, Russia-Ukraine, Israel-Palestine, United States-Iran conflicts, and the supply of oil prices in shaping the pricing of financial securities. This issue will contribute to the boundaries of knowledge of asset pricing by exploring the impact of current geopolitical crises and proposing a better model for the pricing of financial securities. It will help policymakers, practitioners, and investors to make better investment decisions in times of uncertainty. This is also aligned with the scope of decision sciences.
Keywords: Asset Pricing; Emerging Markets; Frontier Markets; ESG; Systemic Risk; COVID-19; Geopolitical Risk; Risk Management; Fama-French Models.
Submission Deadline: December 31, 2027
Guest Editors:
Dr. Hassan Zada
Affiliation: Department of Applied Economics, Moscow State Institute of International Relations (MGIMO University), Moscow, Russian Federation.
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST) University, Islamabad, Pakistan.
Homepage: https://szabist-isb.edu.pk/faculty-of-management-sciences/
https://scholar.google.com/citations?user=vhKhyMYAAAAJ&hl=en
E-mail: [email protected]
Scopus link: https://www.scopus.com/authid/detail.uri?authorId=57225098674
RG link: https://www.researchgate.net/profile/Hassan-Zada
Research Interests: Asset Pricing, Time Series Econometrics, Systemic Risk, Stock Price Jumps, Spillover, and Connectedness.
Dr. Maria Shchepeleva
Affiliation: Department of Theoretical Economics, National Research University Higher School of Economics, Moscow, Russian Federation.
Homepage: https://www.hse.ru/en/org/persons/213558912/
E-mail: [email protected]
Research Interests: Asset pricing, Systemic risk, Financial crises, Macroprudential policy, and Macrofinancial linkages.