The Price Is (Almost) Right

• 成果类型: Article
• 署名作者: Cohen, Randolph B.; Polk, Christopher; Vuolteenaho, Tuomo
• 署名单位: Harvard University; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01516.x
• 发表日期: 2009
• 页码: 2739-2782
• 关键词: efficient capital-markets; Expected stock returns; cross-section; SECURITY MARKET; RISK; equilibrium; portfolio; models; tests

摘要

Most previous research tests market efficiency using average abnormal trading profits on dynamic trading strategies, and typically rejects the joint hypothesis of market efficiency and an asset pricing model. In contrast, we adopt the perspective of a buy-and-hold investor and examine stock price levels. For such an investor, the price level is more relevant than the short-horizon expected return, and betas of cash flow fundamentals are more important than high-frequency stock return betas. Our cross-sectional tests suggest that there exist specifications in which differences in relative price levels of individual stocks can be largely explained by their fundamental betas.