Empirical Asset Pricing Models
Data, Empirical Verification, and Model Search
Business & Finance, Industries & Professions, Insurance, Finance & Investing, Finance
| Author: | Jau-Lian Jeng | ISBN: | 9783319741925 |
| Publisher: | Springer International Publishing | Publication: | March 19, 2018 |
| Imprint: | Palgrave Macmillan | Language: | English |
| Author: | Jau-Lian Jeng |
| ISBN: | 9783319741925 |
| Publisher: | Springer International Publishing |
| Publication: | March 19, 2018 |
| Imprint: | Palgrave Macmillan |
| Language: | English |
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.
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.
