实证资产定价-present.ppt

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 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;I. Tests on the 25 FF Size-BE/ME portfolios;表1;如果3因素模型描述了预期收益，那回归的节距项应该接近0。估计的节距项上看，小股票低BE/ME组合有大的负收益没有解释，大股票低BE/ME组合有正收益没有解释。其余情况还是接近于0的。;LSV Deciles;表2：Summary statistics for simple monthly excess returns(in percent) on the LSV Equal-weight Deciles:7/63-12/93,366 months;表33-factor time- series regressions for monthly excess returns(in percent) on the LSV equal-weight deciles: 7/63-12/93,366 months;LSV double-sort portfolios;表4summary statistics for excess returns(in percent) on the LSV equal-weight double-sort portfolios:7/63-12/93,366 months;表53 factor regressions for monthly excess returns(in perent) on the LSV equal-weight double-sort portfolios:7/63-12/93,366 months ;Portfolios formed on past return;表6average monthly excess returns(in percent) on equal-weight NYSE deciles formed monthly based on continuously compounded past returns;表73factor regressions for monthly excess returns(in percent) on equal-weight NYSE portfolios formed on past returns: 7/63-12/93,366 months ;Exploring 3-factor models;第一个不懂;表8regression to explain monthly excess returns(in percent) on M,S,L,H,SMB and HML:7/63-12/93,366 months;表9summary of intercepts from one-factor CAPM Excess-return regressions on different versions of the 3-factor ICAPM regressions: 7/63