empirical asset pricing剖析异常现象尤金法玛主讲介绍.pdfVIP

Introduction • Banz (1981) stocks with low market capitalization (small stocks) have abnormally high average returns • Rosenberg, Reid, Lanstein (1985) high ratios of book value to the market value of equity also have unusually high average returns • Haugen Baker (1996) more profitable firms have higher average stock returns • Fairfield, Whisenant, Yohn (2003) firms that invest more have lower stock returns • Sloan (1996) higher accruals predict lower stock returns • Ikenberry, Lakonishok, Vermaelen(1995) Returns after stock rep