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The Investment CAPM

Listed author(s):
  • Lu Zhang
Registered author(s):

A new class of Capital Asset Pricing Models (CAPM) arises from the first principle of real investment for individual firms. Conceptually as "causal"' as the consumption CAPM, yet empirically more tractable, the investment CAPM emerges as a leading asset pricing paradigm. Firms do a good job in aligning investment policies with costs of capital, and this alignment drives many empirical patterns that are anomalous in the consumption CAPM. Most important, integrating the anomalies literature in finance and accounting with neoclassical economics, the investment CAPM succeeds in mounting an efficient markets counterrevolution to behavioral finance in the past 15 years.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 23226.

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Date of creation: Mar 2017
Handle: RePEc:nbr:nberwo:23226
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