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Empirical Asset Pricing Models

Data, Empirical Verification, and Model Search

Authors: Jeng, Jau-Lian

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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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eBook $99.00
price for USA (gross)
  • ISBN 978-3-319-74192-5
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Hardcover $129.00
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  • ISBN 978-3-319-74191-8
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  • Usually dispatched within 3 to 5 business days.
Softcover $129.00
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  • ISBN 978-3-030-08932-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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.

About the authors

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

Table of contents (5 chapters)

Table of contents (5 chapters)

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-3-319-74192-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-3-319-74191-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $129.00
price for USA
  • ISBN 978-3-030-08932-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Empirical Asset Pricing Models
Book Subtitle
Data, Empirical Verification, and Model Search
Authors
Copyright
2018
Publisher
Palgrave Macmillan
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-3-319-74192-5
DOI
10.1007/978-3-319-74192-5
Hardcover ISBN
978-3-319-74191-8
Softcover ISBN
978-3-030-08932-0
Edition Number
1
Number of Pages
XVI, 268
Number of Illustrations
1 b/w illustrations
Topics