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MACMILLAN Empirical Asset Pricing Models: Data, Empirical Verification, and Model Search

Name: Empirical Asset Pricing Models: Data, Empirical Verification, and Model Search
Brand: MACMILLAN
Price: 68.11 GBP
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Description

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.

Product Specifications

Brand: MACMILLAN
Format: paperback
ASIN: 3030089320
Category: Books > Subjects > Business, Finance & Law > Management
Domain: Amazon UK
Release Date: 05 January 2019
Listed Since: 04 January 2019

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MACMILLAN Empirical Asset Pricing Models: Data, Empirical Verification, and Model Search

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