金融计量学：资产定价实证分析 (2009 年度畅销榜NO.97880 )

本书分为四个部分。第一部分着重于对线性资产定价模型的实证和计算分析，并提出相应的统计检验方法。这类模型以Sharpe-Lintner的诺贝尔奖成果为基础，包括一些新近拓广的线性理论。第二部分研究常用线性及非线性理论对其假设的依赖性。第三部分比较近年来盛行的定价函数核理论与经典的资产定价理论。第四部分讨论贝叶斯理论在金融中的应用。\r\n\r\n \r\n

Acknowledgments\r\nIntroducti\r\nPart Ⅰ Classical Tests of Linear Pricing Rules\r\n 1 Small Sample Tests of Portfolio Efficiency,Journal of Financial Economics,30;165-191,1991\r\n 2 Testing Multi-Beta Asset Pricing Models,Journal of Empirical Finance,6:219-241,1999\r\n 3 Small Sample Rank Tests with Applications to Asset Pricing,Journal of Empirical Finance,2:71-93,1995\r\n 4 Security Factors sa Linear Combinations of Economic Variables,Journal of Financial Markets,2:403-432,1999 \r\nPart Ⅱ Robustness Analysis\r\n 5 Asset-Pricing Tests under Alternative Distributions,The Journal of Finance,XL VIII:1927-1942,1993\r\n 6 International Asset Pricing with Alternative Distributional Specifications,Journal of Empirical Finance,1:107-131,1993\r\n 7 AnalyticalGMM Tests:Asset Pricing with Time-Varying Risk Premiums,The Review of Financial Studies,7:687-709,1994\r\nPart Ⅲ Pricing Kernel Tests\r\n 8 A Critique of the Stochastic Discount Factor Methodology,The Journal of Finance.LIV:1221-1248,1999\r\nPart Ⅳ Bayesian Analysis\r\n 9 Bayesian Inference in Asset Pricing Tests,Journal of Financial Economics,26:221-254,1990\r\n 10 Measuring the Pricing Error of the Arbitrage Pricing Theory,The Review of financial Studies ,9:557-587,1996\r\n 11 Temporary Components of Stock Returns:What DO the Data Tell Us?The Review of Financial Studies,9:1033-1059,1996\r\n\r\n

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