We compare the finite sample power of short- and long-horizon tests in nonlinear predictive regression models of regime switching between bull and bear markets, allowing for time varying transition probabilities. As a point of reference, we also provide a similar comparison in a linear...

We introduce robust kurtosis, which is a new quantile-based measure for the kurtosis of stock returns. For approximately normal distributions, robust kurtosis is equivalent to the traditional moment-based kurtosis. For fat-tailed distributions, when kurtosis matters the most, robust kurtosis...

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...

Part I: Introduction -- Chapter 1: Portfolio Theory and Practice -- Part II: Previous Asset Pricing Models -- Chapter 2: General Equilibrium Asset Pricing Models -- Chapter 3: Multifactor Asset Pricing Models -- Part III: The ZCAPM -- Chapter 4: A New Asset Pricing Model: The ZCAPM -- Chapter 5:...

We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic and the asymmetrical heavy-tail property of financial time series. It combines the merits of a popular sequential...

Stock returns can have positive and negative sensitivity to the cross-sectional standard deviation of returns or return dispersion (RD). To capture asymmetric RD effects, we propose a new asset pricing model dubbed the ZCAPM that takes into account beta risk associated with the market factor and...