This paper combines the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of different multifactor market indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added to...

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:...

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...

This paper combines the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of different multifactor market indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added to...

This paper investigates the long-run recovery experience of US banks that received capital infusions under the Capital Purchase Program (CPP), a part of the Troubled Asset Relief Program (TARP). Based on a dynamic recovery model, our results show that recovering CPP banks tended to be in better...

Due to a lack of supporting evidence, market beta in the widely-acclaimed Capital Asset Pricing Model (CAPM) is considered dead nowadays. In this paper we propose a novel approach for estimating market beta using the traditional market model. Upon deriving a covariance adjustment term, we...

This paper employs the ZCAPM asset pricing model of Liu, Kolari, and Huang (2018) to show that momentum returns are highly related to market risk arising from return dispersion (RD). Cross-sectional tests show that momentum risk loadings and RD risk loadings are similarly priced in momentum...

This paper provides cross-sectional tests of the Capital Asset Pricing Model (CAPM). To mitigate problems with noise in realized stock return series, we use a smoothed data series of average daily returns per month. Tests using U.S. stock returns for equal-weighted portfolios indicate that beta...

Image enhancement is used to correct contrast deficiencies and to improve the quality of an image. It is essential and critical to extracting features and segmenting images. This paper presents a novel contrast enhancement algorithm based on newly defined texture histogram and fuzzy entropy with...

Partial differential equations (PDE) have been successfully and widely applied to image processing and computer vision. Anisotropic diffusion is an approach to remove noise based on nonlinear PDE. Many anisotropic methods have been studied; however, they suffer two major drawbacks: blurring and...