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金融计量学 资产定价实证分析pdf电子书版本下载
- 周国富著 著
- 出版社: 北京:北京大学出版社
- ISBN:7301045654
- 出版时间:2000
- 标注页数:296页
- 文件大小:17MB
- 文件页数:314页
- 主题词:
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图书目录
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