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Empirical Asset Pricing: Models and Methods by Wayne Ferson

Empirical Asset Pricing: Models and Methods

by Wayne Ferson
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Book cover type: Hardcover
  • ISBN13: 9780262039376
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: The MIT Press
  • Publisher Imprint: The MIT Press
  • Publication Date:
  • Pages: 496
  • Original Price: USD 100.0
  • Language: English
  • Edition: N/A
  • Item Weight: 953 grams
  • BISAC Subject(s): Finance / General

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.

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

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