Empirical Asset Pricing Models Data, Empirical Verification, and Model Search /

• Main Author: Jeng, Jau-Lian (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Palgrave Macmillan, 2018.
• Edition: 1st ed. 2018.
• Subjects: Risk management.; Capital market.; Capital investments.; Risk Management.; Capital Markets.; Investment Appraisal.
• Physical Description: XVI, 268 p. 1 illus. online resource.
• ISBN: 9783319741925
• DOI: 10.1007/978-3-319-74192-5

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.