Empirical Asset Pricing Models / Progress in Mathematics (PDF)
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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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.
Autoren-Porträt von Jau-Lian Jeng
Jau-Lian Jeng is Professor of Finance at Azusa Pacific University, USA.
Bibliographische Angaben
- Autor: Jau-Lian Jeng
- 2018, 1st ed. 2018, 268 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3319741926
- ISBN-13: 9783319741925
- Erscheinungsdatum: 19.03.2018
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Größe: 5.32 MB
- Ohne Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
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