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...

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Bibliographic Details
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:	Capital assets pricing model. Machine learning. Modèle d'évaluation des actifs financiers. Apprentissage automatique. Capital assets pricing model Machine learning Electronic books.

Table of Contents:

Part I Introduction
1. The Rise of Anomalies: Challenging Theory and Practice in Finance
2. Anomaly Stock Portfolios
Part II Anomalies Literature and Asset Pricing Models
3. Prominent Asset Pricing Models and Anomaly Portfolio Returns
4. The ZCAPM and Anomaly Portfolio Returns
Part III Explaining Anomaly Portfolio Returns
5. Can Asset Pricing Models Explain Anomaly Stock Portfolio Returns?
6. Further Tests of Asset Pricing Models and Anomaly Portfolio Returns
Part IV Asset Pricing Model Validity
7. Empirical Tests on the Validity of Asset Pricing Models
Part VI Conclusion
8. Machine Learning in Asset Pricing Models: The Dominance of the ZCAPM.