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...

Using the sample from January 1, 2014 to December 31, 2017 from SHSE, we find a non-negative relation between Chinese institutional net trading and stock price volatility, while Li and Wang (2010) show a significantly negative relation between July 1, 2002 to December 31, 2004, and hence...

This paper utilizes Black's (1972) zero-beta CAPM to derive an alternative form dubbed the ZCAPM. The ZCAPM posits that asset prices are a function of market risk composed of two components: average market returns and cross-sectional market volatility. Market risk associated with average market...