A New Model of Capital Asset Prices
Theory and Evidence
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 prop…
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Produktdetails
Weitere Autoren: Kolari, James W. / Huang, Jianhua Z.
- ISBN: 978-3-030-65197-8
- EAN: 9783030651978
- Produktnummer: 35884893
- Verlag: Palgrave Macmillan
- Sprache: Englisch
- Erscheinungsjahr: 2021
- Plattform: PDF
- Masse: 6'803 KB
Über den Autor
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.
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