New Model of Capital Asset Prices

Theory and Evidence

Inbunden, Engelska, 2021

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Beskrivning

This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns.

Produktinformation

Utgivningsdatum:2021-03-02
Mått:148 x 210 x 24 mm
Vikt:558 g
Format:Inbunden
Språk:Engelska
Antal sidor:308
Förlag:Springer Nature Switzerland AG
ISBN:9783030651961

Utforska kategorier

Nationalekonomi inom Ekonomi och Ledarskap
Finansiering inom Ekonomi och Ledarskap

Mer om författaren

James W. Kolari is the JP Morgan Chase Professor of Finance and Academic Director of the Commercial Banking Program in the Department of Finance at Texas A&M University, USA. Wei Liu is Senior Quantitative Analyst for USAA Bank with duties building and implementing models for bank stress tests, marketing programs, and credit risk analyses. Jianhua Z. Huang is a Professor of Statistics and Arseven/Mitchell Chair in Astronomical Statistics in the Department of Statistics at Texas A&M University, USA.

Innehållsförteckning

Part I. Introduction.- Chapter 1. Asset Pricing Evolution.- Part II. Theoretical ZCAPM.- Chapter 2. Capital Asset Pricing Models.- Chapter 3. Theoretical Form of the ZCAPM.- Part III. Empirical ZCAPM.- Chapter 4. Empirical Form of the ZCAPM.- Part IV. Empirical Evidence.- Chapter 5. Stock Return Data and Empirical Methods.- Chapter 6. Empirical Tests of the ZCAPM.- Chapter 7. Cross-Sectional Tests of the ZCAPM.- Part V. Applications of the ZCAPM.- Chapter 8. The Momentum Mytery: An Application of the ZCAPM.- Chapter 9. Eﬃcient Investment Portfolios: An Application of the ZCAPM.- Part VI. Conclusion.- Chapter 10. Synopsis of Asset Pricing and the ZCAPM.