A New Asset Pricing Model based on the Zero-Beta CAPM: Theory and Evidence
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...
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| Format: | Others |
| Language: | en |
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2013
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| Online Access: | http://hdl.handle.net/1969.1/149521 |