The Investment CAPM

Lu Zhang ()

No 23226, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: E13 E22 G12 G14 G31 (search for similar items in EconPapers)
Date: 2017-03
New Economics Papers: this item is included in nep-acc, nep-cfn, nep-fmk and nep-mac
Note: AP CF EFG
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Citations: View citations in EconPapers (36)

Published as Lu Zhang, 2017. "The Investment CAPM," European Financial Management, vol 23(4), pages 545-603.

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Related works:
Journal Article: The Investment CAPM (2017)
Working Paper: The Investment CAPM (2015)
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