The negative CAPM alphas of high-beta and high-variance stocks are attributable to an unaccounted factor in the CAPM. We use eight seemingly unrelated anomalies construct a composite spirit optimal orthogonal portfolio (FOP). Accounting for FOP re-establishes positive relation between beta average returns time series regressions as well cross-sectional explains stocks. To analyze economic drive...

Since the inception of Capital Asset Pricing Model (CAPM), numerous empirical studies have been conducted to test its effectiveness. However, there are several disputes surrounding CAPM model's implementation and study in Chinese securities market. This paper first describes significance model testing validity Then summarizes 11 papers that include using data from Shanghai Shenzhen stock exchan...

The main criterion in investment decisions is to maximize the investors utility. Traditional capital asset pricing models cannot be used when asset returns do not follow a normal distribution. For this reason, we use capital asset pricing model with independent and identically asymmetric power distributed (CAPM-IIAPD) and capital asset pricing model with asymmetric independent and identically a...