A new model of capital asset prices: theory and evidence
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2021
Cham palgrave macmillan |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xxxiii, 308 Seiten Diagramme |
| ISBN: | 9783030651961 |
Staff View
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV047264809 | ||
| 003 | DE-604 | ||
| 005 | 20210611 | ||
| 007 | t | ||
| 008 | 210503s2021 |||| |||| 00||| eng d | ||
| 020 | |a 9783030651961 |9 978-3-030-65196-1 | ||
| 035 | |a (OCoLC)1256425739 | ||
| 035 | |a (DE-599)BVBBV047264809 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-355 | ||
| 082 | 0 | |a 332 |2 23 | |
| 084 | |a QK 622 |0 (DE-625)141669: |2 rvk | ||
| 100 | 1 | |a Kolari, James W. |d 1951- |e Verfasser |0 (DE-588)124735878 |4 aut | |
| 245 | 1 | 0 | |a A new model of capital asset prices |b theory and evidence |c James W. Kolari, Wei Liu, Jianhua Z. Huang |
| 264 | 1 | |a Cham |b Springer International Publishing |c 2021 | |
| 264 | 1 | |a Cham |b palgrave macmillan | |
| 300 | |a xxxiii, 308 Seiten |b Diagramme | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Finance, general | |
| 650 | 4 | |a Economic Theory/Quantitative Economics/Mathematical Methods | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Economic theory | |
| 700 | 1 | |a Liu, Wei |e Verfasser |0 (DE-588)1050041305 |4 aut | |
| 700 | 1 | |a Huang, Jianhua Z. |e Verfasser |0 (DE-588)142939692 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-3-030-65197-8 |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032668597&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-032668597 | ||
Record in the Search Index
| _version_ | 1804182416911237120 |
|---|---|
| adam_text | Contents Part I 1 Asset Pricing Evolution 1.1 Origins of the CAPM 1.2 The CAPM Controversy 1.3 The Roll Critique 1.4 The Zero-Beta CAPM Alternative 1.5 ZCAPM Solution 1.6 Summary Bibliography Partii 2 Introduction 3 4 7 8 9 9 18 19 Theoretical ZCAPM Capital Asset Pricing Models 2.1 General Equilibrium Versus Multifactor Models 2.2 CAPM 2.2.1 Formal Derivation of the CAPM 2.2.2 CAPM Market Model 2.3 Zero-Beta CAPM 2.3.1 Formal Derivation of the Zero-Beta CAPM 2.4 Multifactor Models 2.4.1 Three-Factor Model 25 26 27 28 30 33 35 39 39 XV
xvi 3 CONTENTS 2.4.2 Four-Factor Model 2.4.3 Five-Factor Model 2.4.4 Other Multifactor Models 2.5 Summary Bibliography 42 42 44 46 47 Theoretical Form of the ZCAPM 53 54 56 57 61 3.1 Special Case of the Zero-Beta CA PAI: The ZCAPM 3.1.1 Proof of Equivalence of Geometric Approaches 3.1.2 Locating Unique ZCAPM Portfolios I* andZl* 3.2 Expected Returns of Portfolios I* and ZI* 3.2.1 Derivation of Investment Parabola Parameters Based on Random Matrix Theory 3.2.2 Random Matrix Approximations of Expected Returns for I* and ZI* 3.3 Expected Returns of Assets in the ZCAPM 3.3.1 No Riskless Asset Exists 3.3.2 A Riskless Asset Exists 3.4 Summary Appendix A: Expected Returns for Portfolios I * and ZI * Appendix B: Properties of Matrix C Bibliography 62 64 69 69 71 74 75 76 81 Part III Empirical ZCAPM 4 Empirical Form of the ZCAPM 4.1 4.2 4.3 4.4 4.5 4.6 Related Literature Asymmetric Market Risk Asymmetric Market Risk and the ZCAPM Traditional Return Dispersion Models ZCAPM Approach to Return Dispersion Expectation-Maximization (EM) Algorithm for Estimating the Empirical ZCAPM 4.7 Summary Bibliography 87 88 89 91 95 96 99 104 106
CONTENTS Part IV xvii Empirical Evidence Stock 5.1 5.2 5.3 5.4 5.5 Return Data and Empirical Methods In-Sample Versus Out-of-Sample Tests Sample Data Cross-Sectional Tests Benchmark Time-Series Multifactor Models Time-Series and Cross-Sectional Regressions for the ZCAPM 5.6 Summary Bibliography 113 114 114 121 123 Empirical Tests of the ZCAPM 6.1 Traditional Model Results 6.2 Graphical Evidence for the ZCAPM 6.2.1 Excess Returns and Factor Loadings 6.2.2 Predicted and Realized Excess Returns 6.2.3 Why Do Multifactor Models Do Poorly with Industries? 6.3 Summary Bibliography 131 132 135 135 144 Cross-Sectional Tests of the ZCAPM 7.1 Preview of Empirical Evidence Out-of-Sample Cross-Sectional Tests 7.2 7.2.1 Overview of the ZCAPM and Cross-Sectional Regression Procedure 7.2.2 Empirical Results 7.3 Robustness Chech 7.3.1 Split Subsample Period Results 7.3.2 Size Group Results 7.3.3 Profit and Capital Investment Results 7.3.4 Individual Stock Results 7.3.5 Out-of-Sample Periods Greater Than One Month 7.3.6 Other Four-Factor Models 7.4 Summary Bibliography 159 160 163 125 127 128 151 152 156 163 165 172 173 178 180 180 182 186 189 193
xviii CONTENTS Part V 8 9 The Momentum Mytery: An Application of the ZCAPM 8.1 Preview of Momentum Results 8.2 Empirical Tests 8.2.1 Cross-Sectional Asset Pricing Tests 8.2.2 Comparative Returns 8.2.3 Regression Tests 8.3 Empirical Results 8.3.1 Cross-Sectional Test Results 8.3.2 Comparative Return Results 8.3.3 Regression Test Results 8.4 Summary Bibliography Efficient Investment Portfolios: An Application of the ZCAPM 9.1 Preview of Portfolio Results 9.2 Background Discussion 9.3 Building Portfolios Based on Zeta Risk 9.4 Empirical Results 9.4.1 Zero-Investment Portfolios Sensitive to Return Dispersion 9.4.2 Aggregate Portfolios Sensitive to Return Dispersion 9.4.3 Long Only Aggregate Portfolios Sensitive to Return Dispersion 9.5 Summary Bibliography Part VI 10 Applications of the ZCAPM 199 200 202 202 203 205 206 206 213 216 219 221 225 226 228 230 234 234 239 245 253 256 Conclusion Synopsis of Asset Pricing and the ZCAPM 10.1 The CAPM Lives 10.2 The ZCAPM and Multifactor Models 10.3 Future Research 261 263 268 270
CONTENTS 10.4 Final Remarks Appendix A: Review of the Empirical ZCARM and Cross-Sectional Test Methods Bibliography ХІХ 277 279 282 A New Model of Capital Asset Prices: Theory and Evidence 287 Compendium: Matlab Programs 287 Index 305
|
| adam_txt |
Contents Part I 1 Asset Pricing Evolution 1.1 Origins of the CAPM 1.2 The CAPM Controversy 1.3 The Roll Critique 1.4 The Zero-Beta CAPM Alternative 1.5 ZCAPM Solution 1.6 Summary Bibliography Partii 2 Introduction 3 4 7 8 9 9 18 19 Theoretical ZCAPM Capital Asset Pricing Models 2.1 General Equilibrium Versus Multifactor Models 2.2 CAPM 2.2.1 Formal Derivation of the CAPM 2.2.2 CAPM Market Model 2.3 Zero-Beta CAPM 2.3.1 Formal Derivation of the Zero-Beta CAPM 2.4 Multifactor Models 2.4.1 Three-Factor Model 25 26 27 28 30 33 35 39 39 XV
xvi 3 CONTENTS 2.4.2 Four-Factor Model 2.4.3 Five-Factor Model 2.4.4 Other Multifactor Models 2.5 Summary Bibliography 42 42 44 46 47 Theoretical Form of the ZCAPM 53 54 56 57 61 3.1 Special Case of the Zero-Beta CA PAI: The ZCAPM 3.1.1 Proof of Equivalence of Geometric Approaches 3.1.2 Locating Unique ZCAPM Portfolios I* andZl* 3.2 Expected Returns of Portfolios I* and ZI* 3.2.1 Derivation of Investment Parabola Parameters Based on Random Matrix Theory 3.2.2 Random Matrix Approximations of Expected Returns for I* and ZI* 3.3 Expected Returns of Assets in the ZCAPM 3.3.1 No Riskless Asset Exists 3.3.2 A Riskless Asset Exists 3.4 Summary Appendix A: Expected Returns for Portfolios I * and ZI * Appendix B: Properties of Matrix C Bibliography 62 64 69 69 71 74 75 76 81 Part III Empirical ZCAPM 4 Empirical Form of the ZCAPM 4.1 4.2 4.3 4.4 4.5 4.6 Related Literature Asymmetric Market Risk Asymmetric Market Risk and the ZCAPM Traditional Return Dispersion Models ZCAPM Approach to Return Dispersion Expectation-Maximization (EM) Algorithm for Estimating the Empirical ZCAPM 4.7 Summary Bibliography 87 88 89 91 95 96 99 104 106
CONTENTS Part IV xvii Empirical Evidence Stock 5.1 5.2 5.3 5.4 5.5 Return Data and Empirical Methods In-Sample Versus Out-of-Sample Tests Sample Data Cross-Sectional Tests Benchmark Time-Series Multifactor Models Time-Series and Cross-Sectional Regressions for the ZCAPM 5.6 Summary Bibliography 113 114 114 121 123 Empirical Tests of the ZCAPM 6.1 Traditional Model Results 6.2 Graphical Evidence for the ZCAPM 6.2.1 Excess Returns and Factor Loadings 6.2.2 Predicted and Realized Excess Returns 6.2.3 Why Do Multifactor Models Do Poorly with Industries? 6.3 Summary Bibliography 131 132 135 135 144 Cross-Sectional Tests of the ZCAPM 7.1 Preview of Empirical Evidence Out-of-Sample Cross-Sectional Tests 7.2 7.2.1 Overview of the ZCAPM and Cross-Sectional Regression Procedure 7.2.2 Empirical Results 7.3 Robustness Chech 7.3.1 Split Subsample Period Results 7.3.2 Size Group Results 7.3.3 Profit and Capital Investment Results 7.3.4 Individual Stock Results 7.3.5 Out-of-Sample Periods Greater Than One Month 7.3.6 Other Four-Factor Models 7.4 Summary Bibliography 159 160 163 125 127 128 151 152 156 163 165 172 173 178 180 180 182 186 189 193
xviii CONTENTS Part V 8 9 The Momentum Mytery: An Application of the ZCAPM 8.1 Preview of Momentum Results 8.2 Empirical Tests 8.2.1 Cross-Sectional Asset Pricing Tests 8.2.2 Comparative Returns 8.2.3 Regression Tests 8.3 Empirical Results 8.3.1 Cross-Sectional Test Results 8.3.2 Comparative Return Results 8.3.3 Regression Test Results 8.4 Summary Bibliography Efficient Investment Portfolios: An Application of the ZCAPM 9.1 Preview of Portfolio Results 9.2 Background Discussion 9.3 Building Portfolios Based on Zeta Risk 9.4 Empirical Results 9.4.1 Zero-Investment Portfolios Sensitive to Return Dispersion 9.4.2 Aggregate Portfolios Sensitive to Return Dispersion 9.4.3 Long Only Aggregate Portfolios Sensitive to Return Dispersion 9.5 Summary Bibliography Part VI 10 Applications of the ZCAPM 199 200 202 202 203 205 206 206 213 216 219 221 225 226 228 230 234 234 239 245 253 256 Conclusion Synopsis of Asset Pricing and the ZCAPM 10.1 The CAPM Lives 10.2 The ZCAPM and Multifactor Models 10.3 Future Research 261 263 268 270
CONTENTS 10.4 Final Remarks Appendix A: Review of the Empirical ZCARM and Cross-Sectional Test Methods Bibliography ХІХ 277 279 282 A New Model of Capital Asset Prices: Theory and Evidence 287 Compendium: Matlab Programs 287 Index 305 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Kolari, James W. 1951- Liu, Wei Huang, Jianhua Z. |
| author_GND | (DE-588)124735878 (DE-588)1050041305 (DE-588)142939692 |
| author_facet | Kolari, James W. 1951- Liu, Wei Huang, Jianhua Z. |
| author_role | aut aut aut |
| author_sort | Kolari, James W. 1951- |
| author_variant | j w k jw jwk w l wl j z h jz jzh |
| building | Verbundindex |
| bvnumber | BV047264809 |
| classification_rvk | QK 622 |
| ctrlnum | (OCoLC)1256425739 (DE-599)BVBBV047264809 |
| dewey-full | 332 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332 |
| dewey-search | 332 |
| dewey-sort | 3332 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01570nam a2200385zc 4500</leader><controlfield tag="001">BV047264809</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20210611 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">210503s2021 |||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783030651961</subfield><subfield code="9">978-3-030-65196-1</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1256425739</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV047264809</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 622</subfield><subfield code="0">(DE-625)141669:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Kolari, James W.</subfield><subfield code="d">1951-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)124735878</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">A new model of capital asset prices</subfield><subfield code="b">theory and evidence</subfield><subfield code="c">James W. Kolari, Wei Liu, Jianhua Z. Huang</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cham</subfield><subfield code="b">Springer International Publishing</subfield><subfield code="c">2021</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cham</subfield><subfield code="b">palgrave macmillan</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">xxxiii, 308 Seiten</subfield><subfield code="b">Diagramme</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance, general</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economic Theory/Quantitative Economics/Mathematical Methods</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economic theory</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Liu, Wei</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1050041305</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Huang, Jianhua Z.</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)142939692</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield><subfield code="z">978-3-030-65197-8</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032668597&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-032668597</subfield></datafield></record></collection> |
| id | DE-604.BV047264809 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T17:12:17Z |
| indexdate | 2024-07-10T09:07:13Z |
| institution | BVB |
| isbn | 9783030651961 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032668597 |
| oclc_num | 1256425739 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR |
| owner_facet | DE-355 DE-BY-UBR |
| physical | xxxiii, 308 Seiten Diagramme |
| publishDate | 2021 |
| publishDateSearch | 2021 |
| publishDateSort | 2021 |
| publisher | Springer International Publishing palgrave macmillan |
| record_format | marc |
| spelling | Kolari, James W. 1951- Verfasser (DE-588)124735878 aut A new model of capital asset prices theory and evidence James W. Kolari, Wei Liu, Jianhua Z. Huang Cham Springer International Publishing 2021 Cham palgrave macmillan xxxiii, 308 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Liu, Wei Verfasser (DE-588)1050041305 aut Huang, Jianhua Z. Verfasser (DE-588)142939692 aut Erscheint auch als Online-Ausgabe 978-3-030-65197-8 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032668597&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kolari, James W. 1951- Liu, Wei Huang, Jianhua Z. A new model of capital asset prices theory and evidence Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory |
| title | A new model of capital asset prices theory and evidence |
| title_auth | A new model of capital asset prices theory and evidence |
| title_exact_search | A new model of capital asset prices theory and evidence |
| title_exact_search_txtP | A new model of capital asset prices theory and evidence |
| title_full | A new model of capital asset prices theory and evidence James W. Kolari, Wei Liu, Jianhua Z. Huang |
| title_fullStr | A new model of capital asset prices theory and evidence James W. Kolari, Wei Liu, Jianhua Z. Huang |
| title_full_unstemmed | A new model of capital asset prices theory and evidence James W. Kolari, Wei Liu, Jianhua Z. Huang |
| title_short | A new model of capital asset prices |
| title_sort | a new model of capital asset prices theory and evidence |
| title_sub | theory and evidence |
| topic | Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory |
| topic_facet | Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032668597&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT kolarijamesw anewmodelofcapitalassetpricestheoryandevidence AT liuwei anewmodelofcapitalassetpricestheoryandevidence AT huangjianhuaz anewmodelofcapitalassetpricestheoryandevidence |