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Asset Pricing Models: Specification, Data and Theoretical Foundation

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Abstract

The author surveys and discusses linear asset pricing models with the intent to identify some sets of variables or factors with reduced dimensionality to approximate the core or pricing kernel of asset returns. A theoretical foundation may start with discussion on factor pricing models where asset returns are projected onto some lower-dimensional sets of factors that possibly explain the major variations of asset returns. The aim is to identify major determinants for the fluctuations of asset returns where these determinants satisfy some systematic properties that ensure their indispensable roles.

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Copyright information

© The Author(s) 2018

Authors and Affiliations

  1. 1.School of Business and ManagementAzusa Pacific UniversityStevenson RanchUSA

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