Empirical Asset Pricing Models: Data, Empirical Verification, and Model Search
Author:   Jau-Lian Jeng
Publisher:   Springer Nature Switzerland AG
Edition:   Softcover reprint of the original 1st ed. 2018
ISBN:  

9783030089320


Pages:   268
Publication Date:   05 January 2019
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Empirical Asset Pricing Models: Data, Empirical Verification, and Model Search


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Overview

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.

Full Product Details

Author:   Jau-Lian Jeng
Publisher:   Springer Nature Switzerland AG
Imprint:   Springer Nature Switzerland AG
Edition:   Softcover reprint of the original 1st ed. 2018
Dimensions:   Width: 14.80cm , Height: 1.50cm , Length: 21.00cm
Weight:   0.454kg
ISBN:  

9783030089320


ISBN 10:   3030089320
Pages:   268
Publication Date:   05 January 2019
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

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.

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Jau-Lian Jeng is Professor of Finance at Azusa Pacific University, USA.

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