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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.
面頁冊數:	XVI, 268 p. 1 illus.online resource. :
Contained By:	Springer Nature eBook
標題:	Risk management. -
電子資源:	https://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. - 1st ed. 2018. - XVI, 268 p. 1 illus.online resource.

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:

559158
Risk management.

LC Class. No.: HD61

Dewey Class. No.: 658.155

Empirical Asset Pricing Models = Data, Empirical Verification, and Model Search /
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