Empirical Asset Pricing Models

Data, Empirical Verification, and Model Search

Business & Finance, Industries & Professions, Insurance, Finance & Investing, Finance
Cover of the book Empirical Asset Pricing Models by Jau-Lian Jeng, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Jau-Lian Jeng ISBN: 9783319741925
Publisher: Springer International Publishing Publication: March 19, 2018
Imprint: Palgrave Macmillan Language: English
Author: Jau-Lian Jeng
ISBN: 9783319741925
Publisher: Springer International Publishing
Publication: March 19, 2018
Imprint: Palgrave Macmillan
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer International Publishing

Cover of the book Human Security Norms in East Asia by Jau-Lian Jeng
Cover of the book Construction Program Management – Decision Making and Optimization Techniques by Jau-Lian Jeng
Cover of the book Critical Approaches to Welcome to Night Vale by Jau-Lian Jeng
Cover of the book Experimental Stress Analysis for Materials and Structures by Jau-Lian Jeng
Cover of the book Introduction to Scientific Computing and Data Analysis by Jau-Lian Jeng
Cover of the book Molecular Targets and Strategies in Cancer Prevention by Jau-Lian Jeng
Cover of the book Relational Autonomy and Family Law by Jau-Lian Jeng
Cover of the book From Particle Systems to Partial Differential Equations by Jau-Lian Jeng
Cover of the book The Victorian Ghost Story and Theology by Jau-Lian Jeng
Cover of the book Gender Training by Jau-Lian Jeng
Cover of the book Green and Lean Management by Jau-Lian Jeng
Cover of the book Quantum Symmetries by Jau-Lian Jeng
Cover of the book Nanostructures and Thin Films for Multifunctional Applications by Jau-Lian Jeng
Cover of the book Blade-Pitch Control for Wind Turbine Load Reductions by Jau-Lian Jeng
Cover of the book Innovation in Language Teaching and Learning by Jau-Lian Jeng
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy