Empirical Asset Pricing Models : Data, Empirical Verification, and Model Sear...

Description: Empirical Asset Pricing Models : Data, Empirical Verification, and Model Search, Paperback by Jeng, Jau-lian, ISBN 3030089320, ISBN-13 9783030089320, Brand New, 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

Publication Year: 2019

Topic: Finance / Financial Risk Management, Finance / General, Corporate Finance / General, Investments & Securities / General

Illustrator: Yes

Genre: Business & Economics

Item Weight: 16 Oz

Author: Jau-Lian Jeng

Item Length: 8.3 in

Item Width: 5.8 in

Format: Trade Paperback