Empirical Asset Pricing Models : Data, Empirical Verification, and Model Search
Softcover reprint of the original 1st ed. 2018
Book Details
Format
Paperback / softback
ISBN-10
3030089320
ISBN-13
9783030089320
Edition
Softcover reprint of the original 1st ed. 2018
Publisher
Springer Nature Switzerland AG
Imprint
Springer Nature Switzerland AG
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Jan 5th, 2019
Print length
268 Pages
KSh 14,400.00
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This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors. 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.
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