Empirical Asset Pricing: Models and Methods - Softcover

Ferson, Wayne

 
9780262054331: Empirical Asset Pricing: Models and Methods
Softcover
ISBN 10: 0262054337 ISBN 13: 9780262054331
Verlag: MIT Press, 2025

Inhaltsangabe

An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments.

This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics.

The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

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Über die Autorin bzw. den Autor

Wayne Ferson is Ivadelle and Theodore Johnson Chair of Banking and Finance at the University of Southern California.

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Verlag
MIT Press
Erscheinungsdatum
2025
Sprache
Englisch
ISBN 10 
0262054337
ISBN 13 
9780262054331
Einband
Taschenbuch
Anzahl der Seiten
495
Kontakt zum Hersteller
preigu GmbH & Co. KG
mail@preigu.de

Lengericher Landstr. 19
Osnabrück
Niedersachsen
49078
Deutschland

Weitere beliebte Ausgaben desselben Titels

9780262039376: Empirical Asset Pricing: Models and Methods (The MIT Press)

Vorgestellte Ausgabe

ISBN 10:  0262039370 ISBN 13:  9780262039376
Verlag: The MIT Press, 2019
Hardcover