Empirical Asset Pricing Models
Data, Empirical Verification, and Model Search
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Beschreibung
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.
Positions forecastability as one of several statistical criteria for verifying model specification
Discusses cross-sectional properties of asset pricing models
Details model selection criteria and sequential model search methods
Positions forecastability as one of several statistical criteria for verifying model specification Discusses cross-sectional properties of asset pricing models Details model selection criteria and sequential model search methods
Autor*in
Jau-Lian Jeng
Themen in »Empirical Asset Pricing Models«
forecastability diversifiability dimensionality. kernel measurability asset pricing risk management financial models investing