Empirical asset pricing : models and methods, Wayne Ferson

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The instance Empirical asset pricing : models and methods, Wayne Ferson represents a material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.

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Label

Empirical asset pricing : models and methods, Wayne Ferson

Title remainder

models and methods

Statement of responsibility

Wayne Ferson

Instantiates

• Empirical asset pricing : models and methods

Publication

• Cambridge, Massachusetts, MIT Press, 2019

Bibliography note

Includes bibliographical references and index

Carrier category

volume

Carrier category code

• nc

Carrier MARC source

rdacarrier

Content category

text

Content type code

• txt

Content type MARC source

rdacontent

Contents

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

Control code

on1044775972

Dimensions

24 cm

Extent

xiv, 476 pages

Isbn

9780262039376

Media category

unmediated

Media MARC source

rdamedia

Media type code

• n

Record ID

u442982

System control number

(OCoLC)1044775972