A New Model of Capital Asset Prices : Theory and Evidence

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A New Model of Capital Asset Prices : Theory and Evidence

Kolari, James W./ Liu, Wei/ Huang, Jianhua Z.

ウェブストア価格 ¥12,415（本体¥11,287）
Springer Nature Switzerland AG（2021/03発売）
外貨定価 US$ 59.99
ポイント 112pt

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製本 Hardcover:ハードカバー版／ページ数 308 p.
言語 ENG
商品コード 9783030651961
DDC分類 332.632042

Full Description

This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black's well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM's failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades.

This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods.Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.

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.