A New Model of Capital Asset Prices: Theory and Evidence

by Jianhua Z Huang, Wei Liu, James W Kolari, et al.

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...

• Format: Hardcover
• Language: English
• ISBN: 3030651967
• ISBN13: 9783030651961
• Release Date: March 2021
• Publisher: Palgrave MacMillan
• Length: 308 Pages
• Weight: 1.24 lbs.
• Dimensions: 0.8" x 5.8" x 8.3"