A New Model of Capital Asset Prices

Theory and Evidence
1. Auflage 2021
ISBN: 978-3-030-65196-1
Verlag: Springer International Publishing

Buch, Englisch, 308 Seiten, HC runder Rücken kaschiert, Format (B × H): 153 mm x 216 mm, Gewicht: 558 g

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.

Zielgruppe

Research

Autoren/Hrsg.

Kolari, James W.

Huang, Jianhua Z.

Liu, Wei

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftstheorie, Wirtschaftsphilosophie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung

Inhaltsverzeichnis

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. E?cient Investment Portfolios: An Application of the ZCAPM.- Part VI. Conclusion.- Chapter 10. Synopsis of Asset Pricing and the ZCAPM.

Über Autor(innen)

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.