实证资产定价-present.pptxVIP

Multifactor Explanations of Asset Pricing Anomalies;ABSTRACT;市场异常;三因素模型阐述;Relative distress;FF(1993)：3-因素模型较好的解释了基于size和BE/ME的组合收益率。FF(1994)：使用3-因素模型解释行业收益率。此处，FF要说明3-因素模型解释了基于E/P，C/P，和sales growth组合收益率。 Strong firm: Low E/P, low C/P and high sales growth, negative slopes on HML（HML平均收益率大约是6%每年）imply lower expected returns。 Weak firm: High E/P, High C/P, low sales growth, positive slopes on HML(relatively distressed),imply higher expected returns. 3因素模型也扑捉了长期收益率的回复效应。 Low long-term past returns(losers) tend to have positive SMB and HML slopes（smaller and relatively distressed）and highter futur