Asset pricing models and market efficiency : using machine learning to explain stock market anomalies /
This book shows that the stock market returns of hundreds of anomaly portfolios discovered by researchers in finance over the past three decades can be explained by a recent asset pricing model dubbed the ZCAPM. Anomaly portfolios are long/short portfolio returns on stocks that cannot be explained b...
| Other Authors: | Kolari, James W. (Editor), Liu, Wei (Editor), Huang, Jianhua Z. (Editor), Liao, Huiling (Editor) |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Cham, Switzerland :
Palgrave Macmillan, an imprint of Springer Nature Switzerland AG,
[2026]
|
| Subjects: |
Similar Items
Handbook of financial markets : dynamics and evolution /
Published: (2009)
Published: (2009)
Asset pricing in discrete time : a complete markets approach /
by: Poon, Ser-Huang
Published: (2005)
by: Poon, Ser-Huang
Published: (2005)
Asset pricing and portfolio choice theory /
by: Back, K. (Kerry)
Published: (2017)
by: Back, K. (Kerry)
Published: (2017)
High or low risk : investor's dilemma on cost of equity /
by: Rasiwala, Farida, et al.
Published: (2023)
by: Rasiwala, Farida, et al.
Published: (2023)
Asset pricing in discrete time : a complete markets approach /
by: Poon, Ser-Huang
Published: (2005)
by: Poon, Ser-Huang
Published: (2005)
The capital asset pricing model in the 21st century : analytical, empirical, and behavioral perspectives /
by: Levy, Haim
Published: (2012)
by: Levy, Haim
Published: (2012)
Asset pricing theory /
by: Skiadas, Costis, 1965-
Published: (2009)
by: Skiadas, Costis, 1965-
Published: (2009)
Asset prices, booms, and recessions : financial market, economic activity, and the macroeconomy /
by: Semmler, Willi
Published: (2003)
by: Semmler, Willi
Published: (2003)
Asset management : a systematic approach to factor investing /
by: Ang, Andrew
Published: (2014)
by: Ang, Andrew
Published: (2014)
Lectures on financial mathematics : discrete asset pricing /
by: Anderson, Greg
Published: (2010)
by: Anderson, Greg
Published: (2010)
Asset prices, booms and recessions : financial economics from a dynamic perspective /
by: Semmler, Willi
Published: (2006)
by: Semmler, Willi
Published: (2006)
Handbook of financial markets : dynamics and evolution /
Published: (2009)
Published: (2009)
Asset pricing under asymmetric information : bubbles, crashes, technical analysis, and herding /
by: Brunnermeier, Markus Konrad
Published: (2001)
by: Brunnermeier, Markus Konrad
Published: (2001)
Advances in quantitative asset management /
Published: (2000)
Published: (2000)
A behavioral approach to asset pricing /
by: Shefrin, Hersh, 1948-
Published: (2008)
by: Shefrin, Hersh, 1948-
Published: (2008)
Discrete-time asset pricing models in applied stochastic finance /
by: Vassiliou, P-C. G. (Panos-C. G.)
Published: (2010)
by: Vassiliou, P-C. G. (Panos-C. G.)
Published: (2010)
Expectations and the structure of share prices /
by: Cragg, J. G.
Published: (1982)
by: Cragg, J. G.
Published: (1982)
Stock market overreaction and fundamental valuation : theory and empirical evidence /
by: Külpmann, Mathias, 1970-
Published: (2002)
by: Külpmann, Mathias, 1970-
Published: (2002)
Financial asset pricing theory /
by: Munk, Claus
Published: (2013)
by: Munk, Claus
Published: (2013)
Irrational exuberance reconsidered : the cross section of stock returns /
by: Külpmann, Mathias, 1970-
Published: (2004)
by: Külpmann, Mathias, 1970-
Published: (2004)
Empirical asset pricing models : data, empirical verification, and model search /
by: Jeng, Jau-Lian
Published: (2018)
by: Jeng, Jau-Lian
Published: (2018)
Finance theory and asset pricing /
by: Milne, Frank
Published: (1995)
by: Milne, Frank
Published: (1995)
A new model of capital asset prices : theory and evidence /
by: Kolari, James W., et al.
Published: (2021)
by: Kolari, James W., et al.
Published: (2021)
Capital asset pricing theories : evolution and new frontiers /
by: Fuller, Russell J.
Published: (1981)
by: Fuller, Russell J.
Published: (1981)
Asset pricing /
Published: (2003)
Published: (2003)
Empirical dynamic asset pricing : model specification and econometric assessment /
by: Singleton, Kenneth J.
Published: (2006)
by: Singleton, Kenneth J.
Published: (2006)
Machine learning in asset pricing /
by: Nagel, Stefan, 1973-
Published: (2021)
by: Nagel, Stefan, 1973-
Published: (2021)
Multi-moment asset allocation and pricing models /
Published: (2006)
Published: (2006)
Finance theory and asset pricing /
by: Milne, Frank
Published: (2003)
by: Milne, Frank
Published: (2003)
Financial modelling with forward-looking information : an intuitive approach to asset pricing /
by: Aydin, Nadi Serhan
Published: (2017)
by: Aydin, Nadi Serhan
Published: (2017)
A behavioral approach to asset pricing /
by: Shefrin, Hersh, 1948-
Published: (2005)
by: Shefrin, Hersh, 1948-
Published: (2005)
A behavioral approach to asset pricing /
by: Shefrin, Hersh, 1948-
Published: (2008)
by: Shefrin, Hersh, 1948-
Published: (2008)
Financial markets and asset pricing /
by: Constantinides, G. M.
Published: (2013)
by: Constantinides, G. M.
Published: (2013)
Modern portfolio theory and the capital asset pricing model : a user's guide /
by: Harrington, Diana R., 1940-
Published: (1983)
by: Harrington, Diana R., 1940-
Published: (1983)
Dynamic asset pricing theory /
by: Duffie, Darrell
Published: (1992)
by: Duffie, Darrell
Published: (1992)
Dynamic asset pricing theory /
by: Duffie, Darrell
Published: (1996)
by: Duffie, Darrell
Published: (1996)
Capital market equilibrium and efficiency : implications for accounting, financial, and portfolio decision making /
Published: (1977)
Published: (1977)
Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods /
by: Grossman, Sanford J.
Published: (1982)
by: Grossman, Sanford J.
Published: (1982)
Solving an empirical puzzle in the capital asset pricing model /
by: Leusner, John
Published: (1997)
by: Leusner, John
Published: (1997)
Errors in recorded security prices and the turn-of-the-year effect /
by: Thomson, James B.
Published: (1986)
by: Thomson, James B.
Published: (1986)