Search Results - subject:"Zero-Beta CAPM"

Further tests of the ZCAPM asset pricing model

Kolari, James W.; Huang, Jianhua Z.; Liu, Wei; Liao, Huiling - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-23

In a recent book, Kolari et al. developed a new theoretical capital asset pricing model dubbed the ZCAPM. Based on out-of-sample cross-sectional tests using U.S. stocks, the ZCAPM consistently outperformed well-known multifactor models popular in the finance literature. This paper presents...

Persistent link: https://www.econbiz.de/10013201440

Further tests of the ZCAPM asset pricing model

Kolari, James W.; Huang, Jianhua Z.; Liu, Wei; Liao, Huiling - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10013165003

Investment Valuation and Asset Pricing : Models and Methods

Kolari, James W.; Pynnönen, Seppo - 2023

Model (CAPM) -- Chapter 4: The Market Model -- Chapter 5: The Zero-Beta CAPM -- Chapter 6: Alternative CAPM Specifications … -- Chapter 7: Arbitrage Pricing Theory -- Chapter 8: Multifactor Models -- Chapter 9: A Special Case of Zero-Beta CAPM -- Chapter …

Persistent link: https://www.econbiz.de/10013504695

Identifying proxies for risk-free assets : evidence from the zero-beta capital asset pricing model

He, Zhen; O’connor, Fergal; Thijssen, Jacco J. J. - In: Research in international business and finance 63 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10014248949

A note on a mean-lower partial moment CAPM without risk-free asset

Mondal, Dipankar; Selvaraju, N. - In: Operations research letters 47 (2019) 4, pp. 264-269

Persistent link: https://www.econbiz.de/10012103261

Differences in Opinion and Risk Premium

He, Xue-Zhong; Shi, Lei - Finance Discipline Group, Business School - 2010

When people agree to disagree, this paper examines the impact of the disagreement among agents on market equilibrium and equity premium. Within the standard mean variance framework, we consider a market of two risky assets, a riskless asset and two (and then a continuum of) agents who have...

Persistent link: https://www.econbiz.de/10008515807

Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs

He, Xue-Zhong; Shi, Lei - Finance Discipline Group, Business School - 2009

belief, we establish market equilibrium prices of risky assets and show that the standard Black’s zero-beta CAPM under …-8010 Research Paper 244 January 2009 Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs ….qfrc.uts.edu.au  QUANTITATIVE FINANCE RESEARCH CENTRE PORTFOLIO ANALYSIS AND ZERO-BETA CAPM WITH HETEROGENEOUS BELIEFS XUE-ZHONG HE AND LEI SHI …

Persistent link: https://www.econbiz.de/10004984476

Multivariate tests of asset pricing: Simulation evidence from an emerging market

Iqbal, Javed; Brooks, Robert; Galagedera, Don U.A. - Department of Econometrics and Business Statistics, … - 2008

are smaller. Application of the bootstrap tests to the data from the Karachi Stock Exchange strongly supports the zero-beta … CAPM. However the low power of the multivariate tests warrants a careful interpretation of the results. …

Persistent link: https://www.econbiz.de/10005087609

Portfolio selection and portfolio frontier with background risk

Huang, Hung-Hsi; Wang, Ching-Ping - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 177-196

and Zero-Beta CAPM. In particular, the portfolio frontier constructed from n risky assets plus one riskless asset is …

Persistent link: https://www.econbiz.de/10010730249

Portfolio selection and portfolio frontier with background risk

Huang, Hung-hsi; Wang, Ching-ping - In: The North American journal of economics and finance : a … 26 (2013), pp. 177-196

Persistent link: https://www.econbiz.de/10010364815