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Empirical Asset Pricing Models


Empirical Asset Pricing Models

Data, Empirical Verification, and Model Search

von: Jau-Lian Jeng

CHF 106.50

Verlag: Palgrave Macmillan
Format: PDF
Veröffentl.: 19.03.2018
ISBN/EAN: 9783319741925
Sprache: englisch

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Beschreibungen

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.
<div><div>Part I Asset Pricing Models: Discussions and Statistical&nbsp;Inferences.-&nbsp;1.&nbsp;Asset Pricing Models: Specification, Data and Theoretical&nbsp;Foundation.-&nbsp;2. Statistical Inferences with Specification Tests.-&nbsp;3. Statistical Inferences with Model Selection Criteria.-&nbsp;Part II The Alternative Methodology.&nbsp;-&nbsp;4.&nbsp;Finding Essential Variables in Empirical Asset Pricing&nbsp;Models.-&nbsp;5. Hypothesis Testing with Model Search.</div></div><div><br></div>
Jau-Lian Jeng is Professor of Finance at Azusa Pacific University, USA.
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.
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
<div>Positions forecastability as one of several statistical criteria for verifying model specification&nbsp;</div><div><br></div><div>Discusses cross-sectional properties of asset pricing models</div><div><br></div>Details&nbsp;model selection criteria and sequential model search methods

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