Empirical asset pricing models: data, empirical verification, and model search
Auteur :
Jeng, Jau-Lian
Éditeur :
Springer Nature Switzerland AG
ISBN :
9783030089320
Date de publication :
5 janv. 2019
Dimensions :
21,0 x 14,8 cm
Langue :
Anglais
Pays d'origine :
Suisse
This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors. 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.