國立虎尾科技大學 |

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

Record Type:	Language materials, printed : Monograph/item
Title/Author:	A New Model of Capital Asset Prices/ by James W. Kolari, Wei Liu, Jianhua Z. Huang.
Reminder of title:	Theory and Evidence /
Author:	Kolari, James W.
other author:	Liu, Wei.
Description:	XXXIII, 308 p. 52 illus., 33 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Finance. -
Online resource:	https://doi.org/10.1007/978-3-030-65197-8
ISBN:	9783030651978

A New Model of Capital Asset Prices = Theory and Evidence /
Kolari, James W.

A New Model of Capital Asset PricesTheory and Evidence /[electronic resource] :by James W. Kolari, Wei Liu, Jianhua Z. Huang. - 1st ed. 2021. - XXXIII, 308 p. 52 illus., 33 illus. in color.online resource.

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

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. 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. .

ISBN: 9783030651978

Standard No.: 10.1007/978-3-030-65197-8doiSubjects--Topical Terms:

559073
Finance.

LC Class. No.: HG1-9999

Dewey Class. No.: 332

A New Model of Capital Asset Prices = Theory and Evidence /
LDR:03963nam a22003855i 4500 001 1047291
003 DE-He213
005 20210921231101.0
007 cr nn 008mamaa
008 220103s2021 sz | s |||| 0|eng d
020 $a 9783030651978 $9 978-3-030-65197-8
024 7 $a 10.1007/978-3-030-65197-8 $2 doi
035 $a 978-3-030-65197-8
050 4 $a HG1-9999
072 7 $a KFF $2 bicssc
072 7 $a BUS027000 $2 bisacsh
072 7 $a KFF $2 thema
082 0 4 $a 332 $2 23
100 1 $a Kolari, James W. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 888630
245 1 2 $a A New Model of Capital Asset Prices $h [electronic resource] : $b Theory and Evidence / $c by James W. Kolari, Wei Liu, Jianhua Z. Huang.
250 $a 1st ed. 2021.
264 1 $a Cham : $b Springer International Publishing : $b Imprint: Palgrave Macmillan, $c 2021.
300 $a XXXIII, 308 p. 52 illus., 33 illus. in color. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
505 0 $a 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. Eﬃcient Investment Portfolios: An Application of the ZCAPM -- Part VI. Conclusion -- Chapter 10. Synopsis of Asset Pricing and the ZCAPM.
520 $a 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. 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. .
650 0 $a Finance. $3 559073
650 0 $a Economic theory. $3 809881
650 1 4 $a Finance, general. $3 1069041
650 2 4 $a Economic Theory/Quantitative Economics/Mathematical Methods. $3 1069071
700 1 $a Liu, Wei. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1069876
700 1 $a Huang, Jianhua Z. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1350980
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9783030651961
776 0 8 $i Printed edition: $z 9783030651985
856 4 0 $u https://doi.org/10.1007/978-3-030-65197-8
912 $a ZDB-2-HTY
912 $a ZDB-2-SXH
950 $a History (SpringerNature-41172)
950 $a History (R0) (SpringerNature-43722)