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A NEW MODEL OF CAPITAL ASSET PRICES IBD

JAMES W KOLARI / JIANHUA Z HUANG / WEI LIU
PALGRAVE MACMILLAN
03 / 2021
9783030651961
Inglés

Sinopsis

This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests usingáUSástock returns. The ZCAPM is derived from Fischer BlackâÇÖs well-known zero-beta CAPM, itself a more general form of the famousácapital asset pricing modelá(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 CAPMâÇÖs 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.á