Asset Pricing Models

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

Chapter 9 in Encyclopedia of Finance, 2022, pp 613-627 from Springer

Abstract: Abstract The asset pricing models of financial economics describe the prices and expected rates of return of securities based on arbitrage or equilibrium theories. These models are reviewed from an empirical perspective, emphasizing the relationships among the various models.

Keywords: Arbitrage; Arbitrage pricing model; Beta pricing model; Capital asset pricing model; Consumption; Durable goods; Factor models; Financial assets; Habit persistence; Intertemporal marginal rate of substitution; Mean variance efficiency; Portfolio optimization; Risk aversion; Stochastic discount factor; Systematic risk (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/978-3-030-91231-4_9

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