Empirical Asset Pricing Models : Data, Empirical Verification, and Model Search
1st ed. 2018
Book Details
Format
Hardback or Cased Book
ISBN-10
3319741918
ISBN-13
9783319741918
Edition
1st ed. 2018
Publisher
Springer International Publishing AG
Imprint
Palgrave Macmillan
Country of Manufacture
CH
Country of Publication
GB
Publication Date
Mar 27th, 2018
Print length
268 Pages
Ksh 19,800.00
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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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