The Investment CAPM

Fisher College of Business Working Paper No. 2015-03-19

Charles A. Dice Center Working Paper No. 2015-19

129 Pages Posted: 6 Dec 2015 Last revised: 7 Dec 2015

See all articles by Lu Zhang, 张橹

Lu Zhang, 张橹

Ohio State University - Fisher College of Business; National Bureau of Economic Research (NBER)

Multiple version iconThere are 4 versions of this paper

Date Written: December 4, 2015

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.

Keywords: The investment CAPM, Factors War, anomalies, efficient markets, behavioral finance, the consumption CAPM, the joint-hypothesis problem

JEL Classification: G12, G14

Suggested Citation

Zhang, Lu, The Investment CAPM (December 4, 2015). Fisher College of Business Working Paper No. 2015-03-19 . Available at SSRN: https://ssrn.com/abstract=2699190 or http://dx.doi.org/10.2139/ssrn.2699190

Lu Zhang (Contact Author)

Ohio State University - Fisher College of Business ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States
585-267-6250 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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