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.

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...

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.