Empirical Asset Pricing Models

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

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

Inhalt
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.