The investment manifesto
成果类型：
Article
署名作者：
Lin, Xiaoji; Zhang, Lu
署名单位：
University System of Ohio; Ohio State University; National Bureau of Economic Research
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2013.01.001
发表日期：
2013
页码：
351-366
关键词：
摘要：
A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor rationality, the relation must be explained by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are not necessarily risk factors; characteristics-based factor models are linear approximations of firm-level investment returns. The evidence that characteristics dominate covariances in horse races does not necessarily mean mispricing; measurement errors in covariances are likely to blame. Most important, risks do not determine expected returns; the investment approach is no more and no less causal than the consumption approach in explaining anomalies. (C) 2013 Elsevier B.V. All rights reserved.
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