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A New Asset Pricing Model based on the Zero-Beta CAPM: Theory and Evidence
dc.contributor.advisor | Kolari, James W | |
dc.creator | Liu, Wei | |
dc.date.accessioned | 2013-10-03T15:03:40Z | |
dc.date.available | 2015-05-01T05:57:10Z | |
dc.date.created | 2013-05 | |
dc.date.issued | 2013-05-08 | |
dc.date.submitted | May 2013 | |
dc.identifier.uri | https://hdl.handle.net/1969.1/149521 | |
dc.description.abstract | This work utilizes 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 returns in the CAPM market model is known as beta risk. We refer to market risk related to cross-sectional market volatility as zeta risk. Using U.S. stock returns from January 1965 to December 2010, out-of-sample cross-sectional asset pricing tests show that the ZCAPM better predicts stock returns than popular three- and four-factor models. These and other empirical tests lead us to conclude that the ZCAPM holds promise as a robust asset pricing model. | en |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | |
dc.subject | Asset Pricing | en |
dc.subject | Zero-Beta CAPM | en |
dc.subject | Factor Model | en |
dc.subject | Random Matrix Theory | en |
dc.title | A New Asset Pricing Model based on the Zero-Beta CAPM: Theory and Evidence | en |
dc.type | Thesis | en |
thesis.degree.department | Finance | en |
thesis.degree.discipline | Finance | en |
thesis.degree.grantor | Texas A&M University | en |
thesis.degree.name | Doctor of Philosophy | en |
thesis.degree.level | Doctoral | en |
dc.contributor.committeeMember | Kim, Hwagyun | |
dc.contributor.committeeMember | Fields, Paige | |
dc.contributor.committeeMember | Li, Qi | |
dc.contributor.committeeMember | Huang, Jianhua Z | |
dc.type.material | text | en |
dc.date.updated | 2013-10-03T15:03:40Z | |
local.embargo.terms | 2015-05-01 |
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