Format:
1 Online-Ressource (326 Seiten)
ISBN:
9783030651978
Note:
Intro -- Preface -- Acknowledgments -- Contents -- About the Authors -- List of Figures -- List of Tables -- Part I Introduction -- 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 -- Part II Theoretical ZCAPM -- 2 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 -- 2.4.2 Four-Factor Model -- 2.4.3 Five-Factor Model -- 2.4.4 Other Multifactor Models -- 2.5 Summary -- Bibliography -- 3 Theoretical Form of the ZCAPM -- 3.1 Special Case of the Zero-Beta CAPM: The ZCAPM -- 3.1.1 Proof of Equivalence of Geometric Approaches -- 3.1.2 Locating Unique ZCAPM Portfolios I* and ZI* -- 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 -- Bibliography -- Part III Empirical ZCAPM -- 4 Empirical Form of the ZCAPM -- 4.1 Related Literature -- 4.2 Asymmetric Market Risk -- 4.3 Asymmetric Market Risk and the ZCAPM -- 4.4 Traditional Return Dispersion Models -- 4.5 ZCAPM Approach to Return Dispersion -- 4.6 EM Algorithm -- 4.7 Summary -- Bibliography -- Part IV Empirical Evidence -- 5 Stock Return Data and Empirical Methods -- 5.1 In-Sample Versus Out-of-Sample Tests -- 5.2 Sample Data -- 5.3 Cross-Sectional Tests -- 5.4 Benchmark Time-Series Multifactor Models
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5.5 Time-Series and Cross-Sectional Regressions for the ZCAPM -- 5.6 Summary -- Bibliography -- 6 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 -- 7 Cross-Sectional Tests of the ZCAPM -- 7.1 Preview of Empirical Evidence -- 7.2 Out-of-Sample Cross-Sectional Tests -- 7.2.1 Overview of the ZCAPM and Cross-Sectional Regression Procedure -- 7.2.2 Empirical Results -- 7.3 Robustness Checks -- 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 -- Part V Applications of the ZCAPM -- 8 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 -- 9 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 Conclusion -- 10 Synopsis of Asset Pricing and the ZCAPM -- 10.1 The CAPM Lives -- 10.2 The ZCAPM and Multifactor Models
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10.3 Future Research -- 10.4 Final Remarks -- Bibliography -- A New Model of Capital Asset Prices: Theory and Evidence -- Index
Additional Edition:
Erscheint auch als Druck-Ausgabe Kolari, James W. A New Model of Capital Asset Prices Cham : Springer International Publishing AG,c2021 ISBN 9783030651961
Language:
English
Subjects:
Economics
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