A New Model of Capital Asset Prices [electronic resource] : Theory and Evidence / by James W. Kolari, Wei Liu, Jianhua Z. Huang.
Erişim Adresi
ISBN
9783030651978
Dil Kodu
İngilizce
Yer Numarası
DK/1290
Yazar
Basım Bildirimi
1st ed. 2021.
Yayın Bilgisi
Cham : Springer International Publishing : Imprint: Palgrave Macmillan, 2021.
Fiziksel Niteleme
XXXIII, 308 p. 52 illus., 33 illus. in color. online resource.
İçindekiler Notu
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.
Özet, vb.
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 Chairin Astronomical Statistics in the Department of Statistics at Texas A&M University, USA. .
Konu
Finance.
Econometrics.
Financial Economics.
Quantitative Economics.
Econometrics.
Financial Economics.
Quantitative Economics.
Diğer Yazarlar
Eseri Alıntıla
Referansları kullanmadan önce gözden geçirmeniz ve varsa gerekli düzeltmeleri yapmanız önerilir.
Dijital Kaynak
MARC Görünümü
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505 0 |aPart 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 |aThis 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 Chairin Astronomical Statistics in the Department of Statistics at Texas A&M University, USA. .
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650 0|aEconometrics.
650 14|aFinancial Economics.
650 24|aQuantitative Economics.
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700 1 |aHuang, Jianhua Z.|eauthor.|4aut|4http://id.loc.gov/vocabulary/relators/aut
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100 1 |aKolari, James W.|eauthor.|4aut|4http://id.loc.gov/vocabulary/relators/aut
245 12|aA New Model of Capital Asset Prices|h[electronic resource] :|bTheory and Evidence /|cby James W. Kolari, Wei Liu, Jianhua Z. Huang.
250 |a1st ed. 2021.
264 1|aCham :|bSpringer International Publishing :|bImprint: Palgrave Macmillan,|c2021.
300 |aXXXIII, 308 p. 52 illus., 33 illus. in color.|bonline resource.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
347 |atext file|bPDF|2rda
505 0 |aPart 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 |aThis 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 Chairin Astronomical Statistics in the Department of Statistics at Texas A&M University, USA. .
650 0|aFinance.
650 0|aEconometrics.
650 14|aFinancial Economics.
650 24|aQuantitative Economics.
700 1 |aLiu, Wei.|eauthor.|4aut|4http://id.loc.gov/vocabulary/relators/aut
700 1 |aHuang, Jianhua Z.|eauthor.|4aut|4http://id.loc.gov/vocabulary/relators/aut
773 0 |tSpringer Nature eBook
776 08|iPrinted edition:|z9783030651961
776 08|iPrinted edition:|z9783030651985
856 40|uhttps://doi.org/10.1007/978-3-030-65197-8
912 |aZDB-2-HTY
912 |aZDB-2-SXH
950 |aHistory (SpringerNature-41172)
950 |aHistory (R0) (SpringerNature-43722)
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