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International tests of the ZCAPM asset pricing model

Author

Listed:
  • Kolari, James W.
  • Huang, Jianhua Z.
  • Butt, Hilal Anwar
  • Liao, Huiling

Abstract

Kolari, Liu, and Huang (2021) recently proposed and empirically tested a new asset pricing model dubbed that ZCAPM that consistently outperformed popular multifactor models using U.S. stock returns. Is the ZCAPM a false discovery? This paper provides international tests of the ZCAPM for Canada, France, Germany, Japan, United Kingdom, and United States. Out-of-sample cross-sectional tests indicate that: (1) the goodness-of-fit of the ZCAPM is substantially higher than the CAPM and widely-used three- and four-factor models; and (2) factor loadings associated with return dispersion in the ZCAPM are more consistently and highly significant than factors in other models across different countries.

Suggested Citation

  • Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000853
    DOI: 10.1016/j.intfin.2022.101607
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    More about this item

    Keywords

    International asset pricing; Cross-sectional stock returns; Return dispersion;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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