PDF/ePub Empirical Asset Pricing: Models and Methods Writen By Wayne Ferson

Empirical Asset Pricing: Models and Methods

By : Wayne Ferson

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Book Synopsis :

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

Book Detail :

Author : Wayne Ferson

Pages : 496 pages

Publisher : MIT Press

Language :

ISBN-10 : 0262039370

ISBN-13 : 9780262039376

 
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