James W. Kolari: Asset Pricing Models and Market Efficiency, Gebunden
Asset Pricing Models and Market Efficiency
- Using Machine Learning to Explain Stock Market Anomalies
- Publisher:
- Springer, 01/2026
- Binding:
- Gebunden
- Language:
- Englisch
- ISBN-13:
- 9783031929007
- Item number:
- 12618122
- Volume:
- 256 Pages
- Weight:
- 446 g
- Format:
- 216 x 153 mm
- Thickness:
- 19 mm
- Release date:
- 14.1.2026
- Note
-
Caution: Product is not in German language
Blurb
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.
This book collects and analyzes a large database of U. S. stock returns for anomaly portfolios over a long sample period spanning approximately 60 years. The authors overview different asset pricing models that have attempted to explain anomalous portfolio returns in the stock market. They then provide a theoretical and empirical discussion of a new asset pricing model dubbed the ZCAPM and report compelling empirical evidence that reveals the ZCAPM can explain hundreds of anomalies. Implications to the efficient-markets / behavioral-finance controversy are discussed. The book will be of particular interest to researchers, students, and professors of capital markets, asset management, and financial economics alongside professionals.
Biography (James W. Kolari)
Professor James W. Kolari obtained his PhD in Finance at Arizona State University in 1980 and thereafter has taught financial markets and institutions at Texas A&M University in the Finance Department. In 1994 he was awarded the JP Morgan Chase Professorship in Finance in the Mays Business School. Dr. Kolari has more than 30 years research experience in the areas of computer-based modeling of financial markets (including stock, bond, and real estate markets), financial institutions (such as banks and insurance companies), and financial regulation. Over the years, he has been a Visiting Scholar at the Federal Reserve Bank of Chicago, Fulbright Scholar at the University of Helsinki and Bank of Finland, Faculty Fellow with the Mortgage Bankers Association of America, and Senior Research Fellow at the Swedish School of Business and Economics (Hanken) in Finland, in addition to being a consultant to the U.S. Small Business Administration, U.S. Information Agency, American Bankers Association, Independent Bankers Association of America, and numerous banks and other organizations. He has published over 100 articles published in refereed journals, numerous other papers and monographs, and 12 co-authored books. His papers have appeared in such domestic and international journals as the Journal of Finance, Journal of Business, Journal of Money, Credit and Banking, Journal of Economic Dynamics and Control, Journal of Banking and Finance, Real Estate Economics, Journal of International Money and Finance, and Scandanavian Journal of Economics. Papers in Dutch, Finnish, Italian, Swedish, and Russian have appeared outside of the United States. He is a co-author of leading college textbooks in commercial banking and international business courses.
