Empirical Asset Pricing

  • Empirical Asset Pricing: The Cross Section of Stock Returns
    Empirical Asset Pricing: The Cross Section of Stock Returns
    By Turan G. Bali, Robert F. Engle, Scott Murray

    Brennan, M. J., Chordia, T., and Subrahmanyam, A. 1998. Alternative factor specifications, security ... Brennan, M. J. and Subrahmanyam, A. 1996. ... Chordia, T., Roll, R., and Subrahmanyam, A. 2000. Commonality in liquidity.

  • Empirical Asset Pricing: Models and Methods
    Empirical Asset Pricing: Models and Methods
    By Wayne Ferson

    Campbell, John Y. 1987. “Stock returns and the term structure.” Journal of Financial Economics 18: 373–399. Campbell, John Y. 1991. “A variance decomposition for stock returns.” Economic Journal 101: 157–179. Campbell, John Y. 1993.

  • Empirical Asset Pricing: Models and Methods
    Empirical Asset Pricing: Models and Methods
    By Wayne Ferson

    ... semistrong-form return prediction and, 358 Boney, V., 312 Bonferroni inequality, 263–264 Book/market ratio, Campbell-Shiller approximation and, 342 Bootra, Ajay, 392 Bootstrapping application to mutual funds, 260–261 basics of, ...

  • Empirical Asset Pricing: The Cross Section of Stock Returns
    Empirical Asset Pricing: The Cross Section of Stock Returns
    By Turan G. Bali, Robert F. Engle, Scott Murray

    This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in ...

  • Empirical Asset Pricing: The Cross Section of Stock Returns
    Empirical Asset Pricing: The Cross Section of Stock Returns
    By Turan G. Bali, Robert F. Engle, Scott Murray

    This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in ...