Description: Empirical Asset Pricing Models Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). Data, Empirical Verification, and Model Search Author(s): Jau-Lian Jeng Format: Hardback Publisher: Springer International Publishing AG, Switzerland Imprint: Springer International Publishing AG ISBN-13: 9783319741918, 978-3319741918 Synopsis 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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Location: Aldershot
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Book Title: Empirical Asset Pricing Models
Number of Pages: 268 Pages
Language: English
Publication Name: Empirical Asset Pricing Models: Data, Empirical Verification, and Model Search
Publisher: Springer International Publishing A&G
Publication Year: 2018
Subject: Finance, Management
Item Height: 210 mm
Item Weight: 4703 g
Type: Textbook
Author: Jau-Lian Jeng
Item Width: 148 mm
Format: Hardcover
