New Model of Capital Asset Prices

Theory and Evidence

Inbunden, Engelska, 2021

AvJames W. Kolari,Wei Liu,Jianhua Z. Huang

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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

Utgivningsdatum2021-03-02
Mått148 x 210 x 24 mm
Vikt558 g
FormatInbunden
SpråkEngelska
Antal sidor308
FörlagSpringer Nature Switzerland AG
ISBN9783030651961

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Finansiering inom Ekonomi och ledarskap
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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.

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.