Empirical Asset Pricing Models

✍ Scribed by Jau-Lian Jeng

• Publisher: Springer International Publishing;Palgrave Macmillan
• Year: 2018
• Tongue: English
• Leaves: 277
• Edition: 1st ed.
• Category: Library

✦ 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.

✦ Table of Contents

Front Matter ....Pages i-xvi
Front Matter ....Pages 1-1
Asset Pricing Models: Specification, Data and Theoretical Foundation (Jau-Lian Jeng)....Pages 3-43
Statistical Inferences with Specification Tests (Jau-Lian Jeng)....Pages 45-112
Statistical Inferences with Model Selection Criteria (Jau-Lian Jeng)....Pages 113-135
Front Matter ....Pages 137-137
Finding Essential Variables in Empirical Asset Pricing Models (Jau-Lian Jeng)....Pages 139-236
Hypothesis Testing with Model Search (Jau-Lian Jeng)....Pages 237-256
Back Matter ....Pages 257-268

✦ Subjects

Finance; Risk Management; Capital Markets; Investment Appraisal