[工程科技]Atwo-FactorAssetPricingModelandtheFatTailDistributionofFirmSizes.pdfVIP

A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes ∗ Y. Malevergne1,2 and D. Sornette1 7 0 0 1 ETH Zurich – Department Management, Technology and Economics, Switzerland 2 2 EM-Lyon Business School – Department Economics, Finance and Control, France b e-mails: ymalevergne@ethz.ch and dsornette@ethz.ch e F 3 ] h Abstract p - c We derive a theoretical two-factor model which has empirically a similar explanatory o power as the Fama-French three-factor model. In addition to the usual market risk, our s. model accounts for a diversification risk, proxied by the equally-weighted portfolio, and s which results from an “internal consistency factor” appearing for arbitrary large economies, c i as a consequence of the concentration of the market portfolio when the distribution of the s capitalization of firms is sufficiently heavy-tailed as in real economies. Our model rationalizes y h the superior performance of the Fama and French three-factor model in explaining the cross p section of stock returns: the size factor constitutes an alternative proxy of the diversification [ factor while the book-to-market effect is related to the increasing sensitivity of value stocks to this factor. 1 v 7 2 Introduction 0 2 In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is 0 uniquely specified from the belief that only the systematic risks need to be remunerated 7