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© 2018

Empirical Asset Pricing Models

Data, Empirical Verification, and Model Search

Book

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Asset Pricing Models: Discussions and Statistical Inferences

  3. The Alternative Methodology

    1. Front Matter
      Pages 137-137
    2. Jau-Lian Jeng
      Pages 237-256
  4. Back Matter
    Pages 257-268

About this book

Introduction

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.

Keywords

forecastability diversifiability dimensionality. kernel measurability asset pricing risk management financial models investing

Authors and affiliations

  1. 1.School of Business and ManagementAzusa Pacific UniversityStevenson Ranch, CAUSA

About the authors

Jau-Lian Jeng is Professor of Finance at Azusa Pacific University, USA.

Bibliographic information

  • Book Title Empirical Asset Pricing Models
  • Book Subtitle Data, Empirical Verification, and Model Search
  • Authors Jau-Lian Jeng
  • DOI https://doi.org/10.1007/978-3-319-74192-5
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2018
  • Publisher Name Palgrave Macmillan, Cham
  • eBook Packages Economics and Finance Economics and Finance (R0)
  • Hardcover ISBN 978-3-319-74191-8
  • Softcover ISBN 978-3-030-08932-0
  • eBook ISBN 978-3-319-74192-5
  • Edition Number 1
  • Number of Pages XVI, 268
  • Number of Illustrations 1 b/w illustrations, 0 illustrations in colour
  • Topics Risk Management
    Capital Markets
    Investment Appraisal
  • Buy this book on publisher's site
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