Conditional Asset Pricing

Wayne E. Ferson ()
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Wayne E. Ferson: University of Southern California

Chapter 10 in Encyclopedia of Finance, 2022, pp 629-638 from Springer

Abstract: Abstract Conditional asset pricing studies predictability in the returns of financial assets, and the ability of asset pr\icing models to explain this predictability. The relation between predictability and asset pricing models is explained and the empirical evidence for predictability is summarized. Empirical tests of conditional asset pricing models are then briefly reviewed.

Keywords: Capital asset pricing models; Conditional expectations; Discount rates; Financial asset returns; Latent variables; Market price of risk; Mean variance efficiency; Minimum-variance portfolios; Multiple-beta models; Predictability; Rational expectations; Stochastic discount factors; Stock prices (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/978-3-030-91231-4_10

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