New Model of Capital Asset Prices : Theory and Evidence
Kolari, James W.; Liu, Wei; Huang, Jianhua Z.
ISBN 10: 3030651967 ISBN 13: 9783030651961
Published by Palgrave Macmillan, 2021
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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.
About the Author:
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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Title: New Model of Capital Asset Prices : Theory ...
Publisher: Palgrave Macmillan
Publication Date: 2021
Binding: Hardcover
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Gebunden. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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 analysesRepresents an empirical version of the now famous Ca. Seller Inventory # 448686330
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A New Model of Capital Asset Prices | Theory and Evidence
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Buch. Condition: Neu. A New Model of Capital Asset Prices | Theory and Evidence | James W. Kolari (u. a.) | Buch | xxxiii | Englisch | 2021 | Springer International Publishing | EAN 9783030651961 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu Print on Demand. Seller Inventory # 119206704
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A New Model of Capital Asset Prices
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Buch. Condition: Neu. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 344 pp. Englisch. Seller Inventory # 9783030651961
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A New Model of Capital Asset Prices : Theory and Evidence
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Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests usingUSstock returns. The ZCAPM is derived from Fischer Black's well-known zero-beta CAPM, itself a more general form of the famouscapital 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. Seller Inventory # 9783030651961
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Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests usingUSstock returns. The ZCAPM is derived from Fischer Black's well-known zero-beta CAPM, itself a more general form of the famouscapital 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. 344 pp. Englisch. Seller Inventory # 9783030651961
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