Authors:
Proposes a new asset pricing model (i.e., the ZCAPM) that has been shown to dominate other popular models in extensive empirical tests using US stock returns over 50 years of analyses
Represents an empirical version of the now famous Capital Asset Pricing Model (CAPM) by 1990 Nobel Laureate William Sharpe
Provides access to computer programs (both MATLAB and R coding) for the ZCAPM model with instructions
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Table of contents (10 chapters)
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Front Matter
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Introduction
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Front Matter
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Theoretical ZCAPM
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Front Matter
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Empirical ZCAPM
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Front Matter
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Empirical Evidence
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Front Matter
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Applications of the ZCAPM
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Front Matter
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Conclusion
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Front Matter
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Back Matter
About this book
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.
Authors and Affiliations
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Department of Finance, Mays Business School, Texas A&M University, College Station, USA
James W. Kolari
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USAA Bank, San Antonio, USA
Wei Liu
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Deptartment of Statistics, Texas A&M University, College Station, USA
Jianhua Z. Huang
About the authors
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.
Bibliographic Information
Book Title: A New Model of Capital Asset Prices
Book Subtitle: Theory and Evidence
Authors: James W. Kolari, Wei Liu, Jianhua Z. Huang
DOI: https://doi.org/10.1007/978-3-030-65197-8
Publisher: Palgrave Macmillan Cham
eBook Packages: History, History (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2021
Hardcover ISBN: 978-3-030-65196-1Published: 02 March 2021
eBook ISBN: 978-3-030-65197-8Published: 01 March 2021
Edition Number: 1
Number of Pages: XXXIII, 308
Number of Illustrations: 19 b/w illustrations, 33 illustrations in colour
Topics: Finance, general, Economic Theory/Quantitative Economics/Mathematical Methods