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A new model of capital asset prices : theory and evidence

Kolari, James W.; Liu, Wei; Huang, Jianhua Z. - 2021

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)...

Persistent link: https://www.econbiz.de/10012318702

The stock market, exchange rate and macro-economy : an empirical investigation

Morley, Bruce - 1997

Persistent link: https://www.econbiz.de/10001530605

Empirical evidence on the effectiveness of environmental taxes

Morley, Bruce - In: Applied economics letters 19 (2012) 16/18, pp. 1817-1820

Persistent link: https://www.econbiz.de/10009685985

Asset pricing and foreign exchange risk : econometric evidence for the G-7

Morley, Bruce - In: Journal of international money and finance 17 (1998) 2, pp. 317-329

Persistent link: https://www.econbiz.de/10001246604

Risk-return relationships and asymmetric adjustment in the UK housing market

Morley, Bruce; Thomas, Dennis A. - In: Applied financial economics 21 (2011) 10/12, pp. 735-742

Persistent link: https://www.econbiz.de/10009231598

Sovereign credit default swaps and the macroeconomy

Liu, Yang; Morley, Bruce - In: Applied economics letters 19 (2012) 1/3, pp. 129-132

Persistent link: https://www.econbiz.de/10009412659

An empirical study of nonlinear adjustment in the UIP model using a smooth transition regression model

Li, Dandan; Ghoshray, Atanu; Morley, Bruce - In: International review of financial analysis 30 (2013), pp. 109-120

Persistent link: https://www.econbiz.de/10010459990

An empirical analysis of UK house price risk variation by property type

Morley, Bruce; Thomas, Dennis A. - In: Review of economics & finance 6 (2016) 2, pp. 45-56

Persistent link: https://www.econbiz.de/10011492603

Purchasing power parity and structural instability in the US/UK exchange rate

Karoglou, Michail; Morley, Bruce - In: Journal of international financial markets, … 22 (2012) 4, pp. 958-972

Persistent link: https://www.econbiz.de/10009582495

Forecasting the exchange rate using nonlinear Taylor rule based models

Wang, Rudan; Morley, Bruce; Stamatogiannis, Michalis P. - In: International journal of forecasting 35 (2019) 2, pp. 429-442

Persistent link: https://www.econbiz.de/10012300680