Empirical Evidence on Security Returns必看课件资料.ppt

Consumption Growth and Market Rates of Return The lower panel of Table 13.6 shows: a high book-to-market ratio is associated with a higher consumption beta larger firm size is associated with a lower consumption beta. Table 13.6 Annual Excess Returns and Consumption Betas Figure 13.6 Cross-Section of Stock Returns: Fama-French 25 Portfolios, 1954-2003 Expected versus Realized Returns Fama and French – Found an equity premium only after 1949 Capital gains significantly exceeded the dividend growth rate in modern times. Equity premium may be due to unanticipated capital gains. Survivorship Bias Estimating risk premiums from the most successful country and ignoring evidence from stock markets that did not survive for the full sample period will impart an upward bias in estimates of expected returns. The high realized equity premium obtained for the United States may not be indicative of required returns. Liquidity and the Equity Premium Puzzle Part of the equity premium is almost certainly compensation for liquidity risk rather than just the (systematic) volatility of returns. Ergo, the equity premium puzzle may be less of a puzzle than it first appears. Behavioral Explanations of the Equity Premium Puzzle Barberis and Huang explain the puzzle as an outcome of irrational investor behavior. The premium is the result of narrow framing and loss aversion. Investors ignore low correlation of stocks with other forms of wealth Higher risk premiums result INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 13 Empirical Evidence on Security Returns Overview of Investigation Return-beta relationships are widely used in actual financial practice. The CAPM predicts expected rates of return on assets, relative to a market portfolio of all risky assets. Overview of Investigation A multifactor capital market usually is postulated. A broad market index (e.g.