International tests of the ZCAPM asset pricing model

James W. Kolari, Jianhua Z. Huang, Hilal Anwar Butt and Huiling Liao

Journal of International Financial Markets, Institutions and Money, 2022, vol. 79, issue C

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.

Keywords: International asset pricing; Cross-sectional stock returns; Return dispersion (search for similar items in EconPapers)
JEL-codes: C30 G12 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000853

DOI: 10.1016/j.intfin.2022.101607

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