Empirical Asset Pricing Models
Data, Empirical Verification, and Model Search
(Sprache: Englisch)
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...
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Klappentext zu „Empirical Asset Pricing Models “
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.
Inhaltsverzeichnis zu „Empirical Asset Pricing Models “
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.Autoren-Porträt von Jau-Lian Jeng
Jau-Lian Jeng is Professor of Finance at Azusa Pacific University, USA.
Bibliographische Angaben
- Autor: Jau-Lian Jeng
- 2019, Softcover reprint of the original 1st ed. 2018, XVI, 268 Seiten, Maße: 15,2 x 20,8 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3030089320
- ISBN-13: 9783030089320
Sprache:
Englisch
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