國立虎尾科技大學 |

Empirical asset pricing models = data, empirical verification, and model search /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Empirical asset pricing models/ by Jau-Lian Jeng.
其他題名:	data, empirical verification, and model search /
作者:	Jeng, Jau-Lian.
出版者:	Cham :Springer International Publishing : : 2018.,
面頁冊數:	xvi, 268 p. :ill., digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Capital assets pricing model. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-74192-5
ISBN:	9783319741925

Empirical asset pricing models = data, empirical verification, and model search /
Jeng, Jau-Lian.

Empirical asset pricing modelsdata, empirical verification, and model search /[electronic resource] :by Jau-Lian Jeng. - Cham :Springer International Publishing :2018. - xvi, 268 p. :ill., digital ;24 cm.

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.

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.

ISBN: 9783319741925

Standard No.: 10.1007/978-3-319-74192-5doiSubjects--Topical Terms:

576533
Capital assets pricing model.

LC Class. No.: HG4636 / .J46 2018

Dewey Class. No.: 332.63222

Empirical asset pricing models = data, empirical verification, and model search /
LDR:02069nam a2200289 a 4500 001 924850
003 DE-He213
005 20180911103414.0
006 m d
007 cr nn 008maaau
008 190625s2018 gw s 0 eng d
020 $a 9783319741925 $q (electronic bk.)
020 $a 9783319741918 $q (paper)
024 7 $a 10.1007/978-3-319-74192-5 $2 doi
035 $a 978-3-319-74192-5
040 $a GP $c GP
041 0 $a eng
050 4 $a HG4636 $b .J46 2018
082 0 4 $a 332.63222 $2 23
090 $a HG4636 $b .J51 2018
100 1 $a Jeng, Jau-Lian. $3 1202171
245 1 0 $a Empirical asset pricing models $h [electronic resource] : $b data, empirical verification, and model search / $c by Jau-Lian Jeng.
260 $a Cham : $b Springer International Publishing : $b Imprint: Palgrave Macmillan, $c 2018.
300 $a xvi, 268 p. : $b ill., digital ; $c 24 cm.
505 0 $a 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.
520 $a 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.
650 0 $a Capital assets pricing model. $3 576533
650 1 4 $a Finance. $3 559073
650 2 4 $a Risk Management. $3 569483
650 2 4 $a Capital Markets. $3 1106532
650 2 4 $a Investment Appraisal. $3 1107685
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer eBooks
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-74192-5
950 $a Economics and Finance (Springer-41170)