Description: Empirical Asset Pricing Models : Data, Empirical Verification, and Model Search, Hardcover by Jeng, Jau-lian, ISBN 3319741918, ISBN-13 9783319741918, Like New Used, Free shipping in the US 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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Book Title: Empirical Asset Pricing Models : Data, Empirical Verification, and Model Search
Number of Pages: Xvi, 268 Pages
Language: English
Publisher: Springer International Publishing A&G
Topic: Finance / Financial Risk Management, Finance / General, Corporate Finance / General, Investments & Securities / General
Publication Year: 2018
Illustrator: Yes
Genre: Business & Economics
Item Weight: 165.9 Oz
Item Length: 8.3 in
Author: Jau-Lian Jeng
Item Width: 5.8 in
Format: Hardcover
