Econometric Evaluation of Asset Pricing Models (Classic Reprint): August, 1993: August, 1993 (Classic Reprint) - Softcover

Inhaltsangabe

Explore how pricing models connect theory to real markets with tests that respect trading frictions.

This book explains econometric tools to judge asset pricing models by using stochastic discount factors, bounds, and practical diagnostics.

Readers will see how to assess models even when transactions costs and short-sale constraints complicate pricing. The text lays out a framework for estimating bounds, testing model fit, and interpreting results in light of market frictions, with clear steps and extensions to common frictions.

• How stochastic discount factors link payoffs to prices in imperfect markets
• Specification-error and volatility bounds to evaluate model correctness
• Region subset tests and extensions that handle short-sales and transaction costs
• Practical estimation methods and asymptotic tools for asset-pricing data

Ideal for readers of quantitative finance and econometrics who want rigorous, actionable ways to test asset pricing ideas in realistic market conditions.

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