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Empirical asset pricing models : data, empirical verification, and model search [eBook] / Jau-Lian Jeng

Main Author Jau-Lian, Jeng Language Inglês. Country Suiça. Publication Cham : Springer, 2018 Description XVI, 268 p. : il., online resource ISBN 9783319741925 Contents note Part 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 Abstract 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. Topical name Finance
Risk management
Capital market
Capital investments - Appraisal
Finanças
Investimento - Risco
Mercado financeiro CBC HD61 Online Resources FULLTEXT@Springer List(s) this item appears in: Stock Market

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Item type	Current location	Call number	Status	Date due	Barcode
Ebook	NOVA SBE	eBook	Available		20200136

Part 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.

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.