Wei Liu

Texas A&M University - Department of Finance

430 Wehner

College Station, TX 77843-4218

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 32,597

SSRN RANKINGS

Top 32,597

in Total Papers Downloads

2,985

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (10)

1.

The CAPM Works Better for Average Daily Returns

Mays Business School Research Paper No. 2826683
Number of pages: 27 Posted: 21 Aug 2016 Last Revised: 06 Sep 2018
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 611 (84,507)

Abstract:

Loading...

CAPM, cross-sectional tests, expected returns, realized returns

2.

A New Investment Technology: The ZCAPM

Mays Business School Research Paper No. 2885467
Number of pages: 31 Posted: 24 May 2017 Last Revised: 03 Apr 2019
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and The Chinese University of Hong Kong
Downloads 603 (85,915)

Abstract:

Loading...

Investment Portfolios, Market Index, Return Dispersion

3.

Two Market Forces in Asset Prices

Number of pages: 63 Posted: 15 Mar 2012 Last Revised: 05 Aug 2018
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and The Chinese University of Hong Kong
Downloads 533 (100,419)
Citation 6

Abstract:

Loading...

asset pricing, zero-beta CAPM, market volatility

4.

Return Dispersion and the Cross-Section of Stock Returns

Mays Business School Research Paper No. 3200095
Number of pages: 81 Posted: 29 Jun 2018 Last Revised: 14 Jul 2020
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and The Chinese University of Hong Kong
Downloads 529 (101,329)
Citation 2

Abstract:

Loading...

Asset pricing, Cross-sectional stock returns, Expectation-maximization (EM) algorithm, Return dispersion

5.

Market Risk and the Momentum Mystery

Number of pages: 39 Posted: 21 Nov 2018 Last Revised: 09 Feb 2019
James W. Kolari and Wei Liu
Texas A&M University - Department of Finance and Texas A&M University - Department of Finance
Downloads 266 (218,082)

Abstract:

Loading...

momentum, market risk, return dispersion, asset pricing

6.

CAPM: A Covariance Adjustment Approach for Estimating Market Beta

Number of pages: 47 Posted: 10 Mar 2016 Last Revised: 25 May 2016
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 199 (287,848)

Abstract:

Loading...

asset pricing, CAPM, cross-sectional tests, market beta

7.

Multifactor Market Indexes

Number of pages: 43 Posted: 15 Dec 2017 Last Revised: 19 Sep 2022
Wei Liu and James W. Kolari
Texas A&M University - Department of Finance and Texas A&M University - Department of Finance
Downloads 119 (440,662)
Citation 1

Abstract:

Loading...

efficient portfolios, market, beta, market index, multifactors

8.

A Cross-Sectional Asset Pricing Test of Model Validity

Number of pages: 48 Posted: 09 Sep 2022 Last Revised: 10 Mar 2024
Texas A&M University - Department of Finance, The Chinese University of Hong Kong, Texas A&M University - Department of Finance and University of Minnesota - Minneapolis - School of Public Health
Downloads 90 (535,142)

Abstract:

Loading...

alpha, asset pricing, cross-sectional tests, mispricing error, ZCAPM

9.

Explaining anomaly portfolio returns: Out-of-sample cross-sectional regression tests

Number of pages: 76 Posted: 31 Oct 2023 Last Revised: 05 Jun 2024
Texas A&M University - Department of Finance, The Chinese University of Hong Kong, Texas A&M University - Department of Finance and University of Minnesota - Twin Cities - School of Public Health
Downloads 35 (835,296)

Abstract:

Loading...

anomalies, asset pricing models, cross-sectional regression tests, mispricing error, ZCAPM JEL: G12, C20

10.

Further Tests of the ZCAPM Asset Pricing Model

Posted: 28 Sep 2022 Last Revised: 08 Mar 2024
Texas A&M University - Department of Finance, The Chinese University of Hong Kong, Texas A&M University - Department of Finance and University of Minnesota - Minneapolis - School of Public Health
Downloads 0 (1,172,568)

Abstract:

Loading...

asset pricing, cross-sectional stock returns, CAPM, zero-beta CAPM, ZCAPM