Noisy Prices and Inference Regarding Returns

• 成果类型: Article
• 署名作者: Asparouhova, Elena; Bessembinder, Hendrik; Kalcheva, Ivalina
• 署名单位: Utah System of Higher Education; University of Utah; University of Arizona
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12010
• 发表日期: 2013
• 页码: 665-714
• 关键词: expected stock returns; cross-section; microstructure noise; COMPUTED RETURNS; liquidity; equilibrium; BEHAVIOR; biases; RISK; strategies

摘要

Temporary deviations of trade prices from fundamental values impart bias to estimates of mean returns to individual securities, to differences in mean returns across portfolios, and to parameters estimated in return regressions. We consider a number of corrections, and show them to be effective under reasonable assumptions. In an application to the Center for Research in Security Prices monthly returns, the corrections indicate significant biases in uncorrected return premium estimates associated with an array of firm characteristics. The bias can be large in economic terms, for example, equal to 50% or more of the corrected estimate for firm size and share price.