Artikel
Further tests of the ZCAPM asset pricing model
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 further evidence that expands their sample period from 1927 to 2020. Results are provided for the subperiods 1927 to 1964 and 1965 to 2020. Our results corroborate those of KLH. In cross-sectional tests, the ZCAPM outperforms the CAPM as well as the Fama and French three-factor model and Carhart four-factor model. Outperformance is found in terms of both higher goodness of fit and the statistical significance of factor loadings. Interestingly, the earlier subperiod results highlight problems with the endogeneity of test assets in cross-sectional tests of multifactor models.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 3 ; Pages: 1-23 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
asset pricing
zero-beta CAPM
return dispersion
expectation-maximization (EM) regression
latent variable
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kolari, James W.
Huang, Jianhua Z.
Liu, Wei
Liao, Huiling
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2022
- DOI
-
doi:10.3390/jrfm15030137
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Kolari, James W.
- Huang, Jianhua Z.
- Liu, Wei
- Liao, Huiling
- MDPI
Entstanden
- 2022
Ähnliche Objekte (12)
Pricing perpetual American put options with asset-dependent discounting
Back to the future betas: Empirical asset pricing of US and Southeast Asian markets
A bibliometric analysis of machine learning econometrics in asset pricing
Hierarchical time-varying estimation of asset pricing models
Data envelopment analysis and multifactor asset pricing models
Capital asset pricing model testing at Warsaw Stock Exchange: Are family businesses the remedy for economic recessions?
Comparison of multifactor asset pricing models in the South African stock market [2000-2016]
Multi-factor asset-pricing models under Markov regime switches: Evidence from the Chinese stock market
Pricing product options and using them to complete markets for functions of two underlying asset prices
A note on the fundamental theorem of asset pricing under model uncertainty
Credit rating and pricing: Poles apart
Between P and Q: The PQ measure for pricing in asset liability management
Pricing perpetual American put options with asset-dependent discounting
Back to the future betas: Empirical asset pricing of US and Southeast Asian markets
A bibliometric analysis of machine learning econometrics in asset pricing
Hierarchical time-varying estimation of asset pricing models
Data envelopment analysis and multifactor asset pricing models
Capital asset pricing model testing at Warsaw Stock Exchange: Are family businesses the remedy for economic recessions?
Comparison of multifactor asset pricing models in the South African stock market [2000-2016]
Multi-factor asset-pricing models under Markov regime switches: Evidence from the Chinese stock market
Pricing product options and using them to complete markets for functions of two underlying asset prices
A note on the fundamental theorem of asset pricing under model uncertainty
Credit rating and pricing: Poles apart
Between P and Q: The PQ measure for pricing in asset liability management
Pricing perpetual American put options with asset-dependent discounting
Back to the future betas: Empirical asset pricing of US and Southeast Asian markets
A bibliometric analysis of machine learning econometrics in asset pricing
Hierarchical time-varying estimation of asset pricing models
Data envelopment analysis and multifactor asset pricing models
Capital asset pricing model testing at Warsaw Stock Exchange: Are family businesses the remedy for economic recessions?
Comparison of multifactor asset pricing models in the South African stock market [2000-2016]
Multi-factor asset-pricing models under Markov regime switches: Evidence from the Chinese stock market
Pricing product options and using them to complete markets for functions of two underlying asset prices
A note on the fundamental theorem of asset pricing under model uncertainty
Credit rating and pricing: Poles apart