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OverviewThis 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. Full Product DetailsAuthor: Jau-Lian JengPublisher: Springer International Publishing AG Imprint: Springer International Publishing AG Edition: 1st ed. 2018 Weight: 4.703kg ISBN: 9783319741918ISBN 10: 3319741918 Pages: 268 Publication Date: 27 March 2018 Audience: Professional and scholarly , Professional & Vocational Format: Hardback Publisher's Status: Active Availability: Manufactured on demand  We will order this item for you from a manufactured on demand supplier. Table of ContentsPart 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.ReviewsAuthor InformationJau-Lian Jeng is Professor of Finance at Azusa Pacific University, USA. Tab Content 6Author Website:Countries AvailableAll regions |
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