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Empirical Asset Pricing Models - Data, Empirical Verification, and Model Search (Paperback, Softcover reprint of the original 1st ed. 2018)
Loot Price: R2,549
Discovery Miles 25 490
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Empirical Asset Pricing Models - Data, Empirical Verification, and Model Search (Paperback, Softcover reprint of the original 1st ed. 2018)
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Total price: R2,569
Discovery Miles: 25 690
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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. 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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