Empirical Asset Pricing Models Empirical Asset Pricing Models

Empirical Asset Pricing Models

Data, Empirical Verification, and Model Search

    • 74,99 €
    • 74,99 €

Publisher 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.

GENRE
Business & Personal Finance
RELEASED
2018
19 March
LANGUAGE
EN
English
LENGTH
284
Pages
PUBLISHER
Springer International Publishing
SIZE
4.4
MB

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