Empirical Asset Pricing Models

Data, Empirical Verification, and Model Search

Häftad, Engelska, 2019

AvJau-Lian Jeng

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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. 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.

Produktinformation

Utgivningsdatum2019-01-05
Mått148 x 210 x 16 mm
Vikt371 g
FormatHäftad
SpråkEngelska
Antal sidor268
FörlagSpringer Nature Switzerland AG
ISBN9783030089320

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Part I Asset Pricing Models: Discussions and Statistical Inferences.- 1. Asset Pricing Models: Specification, Data and Theoretical Foundation.- 2. Statistical Inferences with Specification Tests.- 3. Statistical Inferences with Model Selection Criteria.- Part II The Alternative Methodology. - 4. Finding Essential Variables in Empirical Asset Pricing Models.- 5. Hypothesis Testing with Model Search.