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A New Model of Capital Asset Prices : Theory and Evidence /

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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. 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)...

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Bibliographic Details
Main Authors: Kolari, James W. (Author), Liu, Wei (Author), Huang, Jianhua Z. (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Palgrave Macmillan, 2021.
Edition:1st ed. 2021.
Subjects:
Finance.
Economic theory.
Finance, general.
Economic Theory/Quantitative Economics/Mathematical Methods.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 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. Eļ¬ƒcient Investment Portfolios: An Application of the ZCAPM
  • Part VI. Conclusion
  • Chapter 10. Synopsis of Asset Pricing and the ZCAPM.