《实证资产定价-present》.pptVIP

* * * * * * * 确认上一页的内容 * * * 实证资产定价-present ABSTRACT 普通股的平均收益率与公司特征有关：大小、earnings/price,cash flow/price,book-to-equity,长期历史收益与短期历史收益等等有关。而这些是不能被CAPM所解释，故被称为市场异象。 笔者发现，除了短期收益率，大部分市场异常在三因素模型中都消失了。 市场异常 DeBondt and Thaler(1985)：low long-term past returns tend to have higher future returns Jegadeesh and Titman(1993):short-term returns tend to continue 其他人发现平均股票收益率还与诸如：size(ME=P*No. of shares)、BE/ME、E/P、C/P and past sales growth有关。因为这些都不能用CAPM解释，故被称为异象。 笔者认为，很多基于CAPM的股票收益率异象是相关联的。而且都可以用Fama and French的3因素模型来解释。 3因素模型： 可以被三个因素解释 1. 市场组合的超额收益 2.小股票与大股票组合的收益率差：SMB 3.高B/P与低B/P的组合的收益率差：HML 三因素模型阐述 模型表述 回归模型 Relative distress BE/ME and slopes on HML are proxy for relative distress. Weak firms: low earnings, high BE/ME, positive slopes on HML Strong firms: high earnings, low BE/ME, negative slopes on HML Chan and Chen(1991): covariation in returns related to relative distress which is not captured by the market return and is compensated in average returns. Justify using HML Huberman and Kandel(1987):covariation in returns on small stocks that is not captured by the market return and is compensated in average returns. Justify using SMB 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 future average returns. Long-term winners tend to be strong stocks that have negative slopes on HML and low future returns. 3-factor的局限 不能解释short-term returns的延续。与long-term losers一样，low short-term past returns倾向于有正的HML loading。Short-term past winners load negatively on HML. 只有reversal能被解释，continuation不能被解释。不过3因素模型还是解释了大部分异象。 当然，