Business & Economics Books:

Empirical Asset Pricing Models

Data, Empirical Verification, and Model Search
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Hardback
$369.00
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Description

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.

Author Biography:

Jau-Lian Jeng is Professor of Finance at Azusa Pacific University, USA.
Release date NZ
March 27th, 2018
Author
Audience
  • Professional & Vocational
Edition
1st ed. 2018
Illustrations
1 Illustrations, black and white; XVI, 268 p. 1 illus.
Pages
268
ISBN-13
9783319741918
Product ID
27552447

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