Téléchargez le livre : A New Model of Capital Asset Prices

A New Model of Capital Asset Prices

Theory and Evidence

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Éditeur :

Palgrave Macmillan


Paru le : 2021-03-01



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Description

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. 
Pages
308 pages
Collection
n.c
Parution
2021-03-01
Marque
Palgrave Macmillan
EAN papier
9783030651961
EAN PDF
9783030651978
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
30
Taille du fichier
6390 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
58,01 €
EAN EPUB
9783030651978
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
30
Taille du fichier
14561 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
58,01 €

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. 

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