Produktbild: Empirical Asset Pricing Models

Empirical Asset Pricing Models

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Data, Empirical Verification, and Model Search

ISBN: 3319741918
ISBN 13: 9783319741918
Autor: Jeng, Jau-Lian
Verlag: Springer Verlag GmbH
Umfang: xvi, 268 S., 1 s/w Illustr., 268 p. 1 illus.
Erscheinungsdatum: 27.03.2018
Auflage: 1/2018
Produktform: Gebunden/Hardback
Einband: Gebunden

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.

Artikelnummer: 3266338 Kategorie:

Beschreibung

Positions forecastability as one of several statistical criteria for verifying model specification  Discusses cross-sectional properties of asset pricing models Details model selection criteria and sequential model search methods

Autorenporträt

Jau-Lian Jeng is Professor of Finance at Azusa Pacific University, USA.

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Springer Verlag GmbH
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E-Mail: juergen.hartmann@springer.com

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