Wei Liu

Texas A&M University - Department of Finance

430 Wehner

College Station, TX 77843-4218

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 28,597

SSRN RANKINGS

Top 28,597

in Total Papers Downloads

2,734

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (9)

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 570 (73,655)

Abstract:

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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 540 (78,796)

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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 488 (89,255)
Citation 6

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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 427 (104,514)
Citation 2

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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 245 (189,510)

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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 165 (271,533)

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

7.

The Alpha Force

Number of pages: 75 Posted: 09 Sep 2022 Last Revised: 17 Jan 2023
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 154 (287,509)

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alpha, asset pricing, beta factor, cross-sectional tests, return dispersion

8.

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 103 (387,953)

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efficient portfolios, market, beta, market index, multifactors

9.

Further Tests of the ZCAPM Asset Pricing Model

Number of pages: 51 Posted: 28 Sep 2022
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 42 (617,539)

Abstract:

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