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Palgrave Macmillan

Empirical Asset Pricing Models

Data, Empirical Verification, and Model Search

  • Book
  • © 2018

Overview

Authors:
  1. Jau-Lian Jeng

    1. School of Business and Management, Azusa Pacific University, Stevenson Ranch, CA, USA

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  • Positions forecastability as one of several statistical criteria for verifying model specification
  • Discusses cross-sectional properties of asset pricing models
  • Details model selection criteria and sequential model search methods

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-xvi
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  2. Asset Pricing Models: Discussions and Statistical Inferences

    1. Front Matter

      Pages 1-1
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    2. Asset Pricing Models: Specification, Data and Theoretical Foundation

      • Jau-Lian Jeng
      Pages 3-43

    3. Statistical Inferences with Specification Tests

      • Jau-Lian Jeng
      Pages 45-112

    4. Statistical Inferences with Model Selection Criteria

      • Jau-Lian Jeng
      Pages 113-135

  3. The Alternative Methodology

    1. Front Matter

      Pages 137-137
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    2. Finding Essential Variables in Empirical Asset Pricing Models

      • Jau-Lian Jeng
      Pages 139-236

    3. Hypothesis Testing with Model Search

      • Jau-Lian Jeng
      Pages 237-256

  4. Back Matter

    Pages 257-268
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Keywords

About this book

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.

Authors and Affiliations

  • School of Business and Management, Azusa Pacific University, Stevenson Ranch, CA, USA

    Jau-Lian Jeng

About the author

Jau-Lian Jeng is Professor of Finance at Azusa Pacific University, USA.

Bibliographic Information

  • Book Title: Empirical Asset Pricing Models

  • Book Subtitle: Data, Empirical Verification, and Model Search

  • Authors: Jau-Lian Jeng

  • DOI: https://doi.org/10.1007/978-3-319-74192-5

  • Publisher: Palgrave Macmillan Cham

  • eBook Packages: Economics and Finance, Economics and Finance (R0)

  • Copyright Information: The Editor(s) (if applicable) and The Author(s) 2018

  • Hardcover ISBN: 978-3-319-74191-8Published: 27 March 2018

  • Softcover ISBN: 978-3-030-08932-0Published: 05 January 2019

  • eBook ISBN: 978-3-319-74192-5Published: 19 March 2018

  • Edition Number: 1

  • Number of Pages: XVI, 268

  • Number of Illustrations: 1 b/w illustrations

  • Topics: Risk Management, Capital Markets, Investment Appraisal

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