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001434862 001__ 1434862
001434862 003__ OCoLC
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001434862 019__ $$a1241449569$$a1244116920
001434862 020__ $$a9783030651978$$q(electronic bk.)
001434862 020__ $$a3030651975$$q(electronic bk.)
001434862 020__ $$z3030651967
001434862 020__ $$z9783030651961
001434862 0247_ $$a10.1007/978-3-030-65197-8$$2doi
001434862 035__ $$aSP(OCoLC)1241731013
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001434862 049__ $$aISEA
001434862 050_4 $$aHG4636$$b.K65 2021
001434862 08204 $$a332.632042$$223
001434862 1001_ $$aKolari, James W.,$$eauthor.
001434862 24512 $$aA new model of capital asset prices :$$btheory and evidence /$$cJames W. Kolari, Wei Liu, Jianhua Z. Huang.
001434862 264_1 $$aCham, Switzerland :$$bPalgrave Macmillan,$$c[2021]
001434862 300__ $$a1 online resource
001434862 336__ $$atext$$btxt$$2rdacontent
001434862 337__ $$acomputer$$bc$$2rdamedia
001434862 338__ $$aonline resource$$bcr$$2rdacarrier
001434862 347__ $$atext file
001434862 347__ $$bPDF
001434862 4901_ $$aPalgrave pivot
001434862 504__ $$aIncludes bibliographical references and index.
001434862 5050_ $$aPart I. Introduction -- Chapter 1. Asset Pricing Evolution -- Part II. Theoretical ZCAPM -- Chapter 2. Capital Asset Pricing Models -- Chapter 3. Theoretical Form of the ZCAPM -- Part III. Empirical ZCAPM -- Chapter 4. Empirical Form of the ZCAPM -- Part IV. Empirical Evidence -- Chapter 5. Stock Return Data and Empirical Methods -- Chapter 6. Empirical Tests of the ZCAPM -- Chapter 7. Cross-Sectional Tests of the ZCAPM -- Part V. Applications of the ZCAPM -- Chapter 8. The Momentum Mytery: An Application of the ZCAPM -- Chapter 9. Ecient Investment Portfolios: An Application of the ZCAPM -- Part VI. Conclusion -- Chapter 10. Synopsis of Asset Pricing and the ZCAPM.
001434862 506__ $$aAccess limited to authorized users.
001434862 520__ $$aThis book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Blacks well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPMs failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics. James W. Kolari is the JP Morgan Chase Professor of Finance and Academic Director of the Commercial Banking Program in the Department of Finance at Texas A & M University, USA. Wei Liu is Senior Quantitative Analyst for USAA Bank with duties building and implementing models for bank stress tests, marketing programs, and credit risk analyses. Jianhua Z. Huang is a Professor of Statistics and Arseven/Mitchell Chair in Astronomical Statistics in the Department of Statistics at Texas A & M University, USA.
001434862 588__ $$aOnline resource; title from digital title page (viewed on April 01, 2021).
001434862 650_0 $$aCapital assets pricing model.
001434862 650_6 $$aModèle d'évaluation des actifs financiers.
001434862 655_0 $$aElectronic books.
001434862 7001_ $$aLiu, Wei,$$eauthor.
001434862 7001_ $$aHuang, Jianhua Z.,$$eauthor.
001434862 77608 $$iPrint version:$$z9783030651978
001434862 77608 $$iPrint version:$$z3030651967$$z9783030651961$$w(OCoLC)1203963269
001434862 830_0 $$aPalgrave pivot.
001434862 852__ $$bebk
001434862 85640 $$3Springer Nature$$uhttps://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-030-65197-8$$zOnline Access$$91397441.1
001434862 909CO $$ooai:library.usi.edu:1434862$$pGLOBAL_SET
001434862 980__ $$aBIB
001434862 980__ $$aEBOOK
001434862 982__ $$aEbook
001434862 983__ $$aOnline
001434862 994__ $$a92$$bISE