Empirical asset pricing models and methods
Introduction to empirical asset pricing -- Stochastic discount factors and yen -- State pricing and m-talk -- Maximization and the m-talk euler equations -- Expected risk premiums and alphas -- So many models, so little time (taxonomy) -- Applications of m-talk -- The three paradigms of empirical as...
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| Format: | UnknownFormat |
| Sprache: | eng |
| Veröffentlicht: |
Cambridge, Massachusetts, London, England
The MIT Press
2019
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| Schlagworte: | |
| Online Zugang: | Inhaltsverzeichnis Inhaltstext |
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Tag hinzufügen | Zusammenfassung: | Introduction to empirical asset pricing -- Stochastic discount factors and yen -- State pricing and m-talk -- Maximization and the m-talk euler equations -- Expected risk premiums and alphas -- So many models, so little time (taxonomy) -- Applications of m-talk -- The three paradigms of empirical asset pricing -- Mean-variance models -- Mean efficiency and the capm -- Mean variance efficiency with conditioning information -- Variance bounds on stochastic discount factors -- Variance bounds with conditioning information -- Multi-beta pricing -- Arbitrage pricing and factor analysis -- Multibeta equilibrium models -- Multibeta models with conditioning information -- Empirical asset pricing tools -- Introduction to the generalized method of moments (GMM) -- Gmm implementation -- GMM covariance matrices -- GMM tests -- Advanced gmm -- GMM examples -- Multivariate regression models -- Cross sectional regression methods -- Introduction to panel methods in finance -- Bootstrap methods and multiple comparisons -- Investment performance evaluation -- Classical investment performance evaluation -- Conditional investment performance evaluation -- Term structure and bond fund performance -- Investment performance evaluation: a modern perspective -- Production-based asset pricing -- The campbell shiller approximation and vector autoregressions -- Long run risk models -- Predictability: an overview -- Characteristics versus covariances -- Volatility and the cross-section of stock returns -- Appendix -- References -- Index |
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| Beschreibung: | Literaturverzeichnis: Seiten 417-450 |
| Beschreibung: | xiv, 476 Seiten Illustrationen |
| ISBN: | 9780262039376 978-0-262-03937-6 |