rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Empirical Asset Pricing Models
    sub title: Data, Empirical Verification, and Model Search
  name:
    name part: Jeng, Jau-Lian.
    role:
      role term: creator
    role:
      role term: author.
    role:
      role term: aut
    role:
      role term: http://id.loc.gov/vocabulary/relators/aut
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2018
    edition: 1st ed. 2018.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XVI, 268 p. 1 illus. online resource.
  abstract: 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.
  table of contents: Part I Asset Pricing Models: Discussions and Statistical Inferences -- 1. Asset Pricing Models: Specification, Data and Theoretical Foundation -- 2. Statistical Inferences with Specification Tests -- 3. Statistical Inferences with Model Selection Criteria -- Part II The Alternative Methodology. - 4. Finding Essential Variables in Empirical Asset Pricing Models -- 5. Hypothesis Testing with Model Search.
  note: by Jau-Lian Jeng.
  subject:
    topic: Risk management
  subject:
    topic: Capital market
  subject:
    topic: Capital investments
  subject:
    topic: Risk Management
  subject:
    topic: Capital Markets
  subject:
    topic: Investment Appraisal
  classification: HD61
  classification: 658.155
  related item:
    title info:
      title: Springer eBooks
  identifier: 9783319741925
  identifier: https://doi.org/10.1007/978-3-319-74192-5
  record info:
    record creation date: 180319
    record change date: 20191220130055.0
    record identifier: 978-3-319-74192-5