Empirical Asset Pricing
Models and Methods
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.
Downloadable instructor resources available for this title: File of figures in the book, additional problems with solutions.
Hardcover$100.00 X | £82.00 ISBN: 9780262039376 496 pp. | 7 in x 9 in 19 figures
This is a superb book. The asset pricing is up-to-the-minute and comprehensive, while the prose is concise and light. The coverage of empirical methods and current empirical work is a particular strength. Ferson shows you how to do finance, not just to appreciate it.
John H. Cochrane
Rose-Marie and Jack Anderson Senior Fellow, Hoover Institution at Stanford University; author of Asset Pricing
Wayne Ferson has long been among the foremost researchers in empirical asset pricing. His insights and comprehensive knowledge are on full display in this book.
Eugene F. Fama
Robert R. McCormick Distinguished Service Professor of Finance, The University of Chicago Booth School of Business
Wayne Ferson provides a remarkably integrated coverage of theory and methods used in the vast empirical asset pricing literature that will be accessible to graduate and advanced undergraduate students of finance. The extensive coverage of the literature would help students looking for research topics.
Chicago Mercantile Exchange/John F. Sandner Professor of Finance, Kellogg School of Management, Northwestern University