Equilibrium "Anomalies"  

Oleh:

Shockley, Richard L. ; Ferguson, Michael F.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 6 (2003), page 2549-2580.
Topik: anomalies; studies; equilibrium; models; portfolio investments; rates of return
Fulltext: p 2549.pdf (297.29KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Many empirical "anomalies" are actually consistent with the single beta capital asset pricing model if the empiricist utilizes an equity - only proxy for the true market portfolio. Equity betas estimated agains this particular inefficient proxy will be understated, with the error increasing with the firm's leverage. Thus, firm - specific variables that corelate with leverage (such as book to market and size) will appear to explain returns after controlling for proxy beta simply because they capture the missing beta risk. Loadings on portfolios formed on relative leverage and relative distress completely subsume the powers of the fama and french (1993) returns to high minus low book - to - market (HML) portfolios factors in explaining cross - sectional returns.

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