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Empirical Asset Pricing Models

Name: Empirical Asset Pricing Models
Brand: Springer International Publishing AG
SKU: 18679840
Price: 137.67 EUR
Availability: InStock
Author: Jau-Lian Jeng
ISBN: 9783319741918

Data, Empirical Verification, and Model Search

Jau-Lian Jeng

Jazyk

Angličtina

Kniha Pevná

Libristo kód: 18679840

Nakladateľstvo Springer International Publishing AG, marec 2018

This book analyzes the verification of empirical asset pricing models when returns of securities are... Celý popis

Libristo kód: 18679840

334 b

137.67 €

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This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors. Particular emphasis is placed on the verification of essential factors and features for asset returns through model search approaches, in which non-diversifiability and statistical inferences are considered. The discussion reemphasizes the necessity of maintaining a dichotomy between the nondiversifiable pricing kernels and the individual components of stock returns when empirical asset pricing models are of interest. In particular, the model search approach (with this dichotomy emphasized) for empirical model selection of asset pricing is applied to discover the pricing kernels of asset returns.