The Investment CAPM

Lu Zhang (zhanglu@fisher.osu.edu)

Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics

Abstract: A new class of Capital Asset Pricing Models 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: G12 G14 (search for similar items in EconPapers)
Date: 2015-12
New Economics Papers: this item is included in nep-acc
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: The Investment CAPM (2017)
Working Paper: The Investment CAPM (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:ohidic:2015-19

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