Asset Pricing Models and Market Efficiency
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Asset Pricing Models and Market Efficiency
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English | 2026 | ASIN: B0GGNWPHKR | 244 pages | Epub PDF (True) | 17 MB
This book shows that the stock market returns of hundreds of anomaly portfolios discovered by researchers in finance over the past three decades can be explained by a recent asset pricing model dubbed the ZCAPM. Anomaly portfolios are long/short portfolio returns on stocks that cannot be explained by asset pricing models, and their number has been steadily increasing into the hundreds. Since asset pricing models cannot explain them, behavioral theories have become popular to account for anomalies. Unlike the efficient market hypothesis that assumes rational investors, these human psychology-based theories emphasize irrational investor behavior.