Asset pricing models and financial market anomalies

• 成果类型: Article
• 署名作者: Avramov, Doron; Chordia, Tarun
• 署名单位: University System of Maryland; University of Maryland College Park; Emory University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhj025
• 发表日期: 2006
• 页码: 1001
• 关键词: stock return predictability; cross-section; STOCHASTIC CONSUMPTION; risk-factors; prices; equilibrium; beta; performance; variables; momentum

摘要

This article develops a framework that applies to single securities to test whether asset pricing models can explain the size, value, and momentum anomalies. Stock level beta is allowed to vary with firm-level size and book-to-market as well as with macroeconomic variables. With constant beta, none of the models examined capture any of the market anomalies. When beta is allowed to vary, the size and value effects are often explained, but the explanatory power of past return remains robust. The past return effect is captured by model mispricing that varies with macroeconomic variables.