Empirical Asset Pricing: Models and Methods (Hardcover)

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.

這本書是一本關於實證資產定價理論和方法的介紹，將經典基礎與最新發展相結合。

這本書提供了一個全面的高級介紹，涵蓋了資產定價的研究，即各種證券的價格和回報模型。重點是實證，強調模型與數據的關聯。這本書提供了一種獨特的整合處理，將經典基礎與文獻中的最新發展相結合，並將部分材料與投資管理應用相關聯。它涵蓋了實證資產定價理論、主要的實證方法以及一系列應用主題。

這本書通過三個主要範式介紹了實證資產定價理論：均值方差分析、隨機折現因子和beta定價模型。它描述了實證方法，從廣義矩法（GMM）開始，將其他方法視為GMM的特殊情況；全面回顧了基金績效評估；並介紹了選定的應用主題，包括一個關於資產市場可預測性的重要章節，涵蓋了預測回報水平、波動性和高階時刻，以及預測回報的橫截面差異。其他章節涵蓋了基於生產的資產定價、長期風險模型、Campbell-Shiller近似、協方差與特徵之爭論，以及波動性與股票回報橫截面的關係。廣泛的參考文獻部分反映了該領域的最新研究成果。這本書旨在供金融和經濟學研究生使用，也可作為專業人士的參考資料。