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金融计量学  资产定价实证分析
金融计量学  资产定价实证分析

金融计量学 资产定价实证分析PDF电子书下载

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  • 电子书积分:11 积分如何计算积分?
  • 作 者:周国富著
  • 出 版 社:北京:北京大学出版社
  • 出版年份:2000
  • ISBN:7301045654
  • 页数:296 页
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《金融计量学 资产定价实证分析》目录

Introduction 1

Part Ⅰ Classical Tests of Linear Pricing Rules 3

1. Small Sample Tests of Portfolio Efficiency,Journal of Financial Economics,30:165-191,1991 3

2. Testing Multi-Beta Asset Pricing Models,Journal of Empirical Finance,6:219-241,1999 30

3. Small Sample Rank Tests with Applications to Asset Pricing,Journal of Empirical Finance,2:71-93,1995 53

4. Security Factors as Linear Combinations of Economic Variables,Journal of Financial Markets,2:403-432,1999 76

5. Asset-Pricing Tests under Alternative Distributions,The Journal of Finance,XL VIII(5):1927-1942,1993 109

Part Ⅱ Robustness Analysis 109

6. International Asset Pricing with Alternative Distributional Specifications,Journal of Empirical Finance,1:107-131,1993 125

7. Analytical GMM Tests:Asset Pricing with Time-Varying Risk Premiums,The Review of Financial Studies,7(4):687-709,1994 150

Part Ⅲ Pricing Kernel Tests 175

8. A Critique of the Stochastic Discount Factor Methodology,The Journal of Finance.LIV(4):1221-1248,1999 175

Part Ⅳ Bayesian Analysis 205

9. Bayesian Inference in Asset Pricing Tests,Journal of Financial Economics,26:221-254,1990 205

10. Measuring the Pricing Error of the Arbitrage Pricing Theory,The Review of Financial Studies,9(2):557-587,1996 239

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