Empirical Asset Pricing Models

Name: Empirical Asset Pricing Models
Brand: Springer International Publishing AG
SKU: 9783319741918
Price: 3072 CZK
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Data, Empirical Verification, and Model Search

Autor: Jau-Lian Jeng

Jazyk:

Vazba: Pevná

Vydavatel: Springer International Publishing AG

Dostupnost: Skladem u dodavatele

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

Informace o knize

Autor

Jau-Lian Jeng

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2018

Stránek

268

EAN

9783319741918

ISBN

3319741918

Enbook ID

18679840

Vydavatel

Springer International Publishing AG

Hmotnost

4703

Rozměry

148 x 210 x 23

Kompletní popis

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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Empirical Asset Pricing Models

Data, Empirical Verification, and Model Search

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