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
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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.

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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.

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