Assessing asset pricing anomalies

• 成果类型: Article
• 署名作者: Brennan, MJ; Xia, YH
• 署名单位: University of California System; University of California Los Angeles; University of Pennsylvania
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/14.4.905
• 发表日期: 2001
• 页码: 905
• 关键词: BOOK-TO-MARKET; cross-section; firm size; earnings; returns; prices; stocks

摘要

The optimal portfolio strategy is developed for an investor who has detected an asset pricing anomaly but is not certain that the anomaly is genuine rather than merely apparent. The analysis takes account of the fact that the parameters of both the underlying asset pricing model and the anomalous returns are estimated rather than known. The value that an investor would place on the ability to invest to exploit the apparent anomaly is also derived and illustrative calculations are presented for the Fama and French SMB and HML portfolios, whose returns are anomalous relative to the CAPM.