市场代理作为线性资产定价模型的因素:仍然与滚动批判共存

Todd Prono
{"title":"市场代理作为线性资产定价模型的因素:仍然与滚动批判共存","authors":"Todd Prono","doi":"10.2139/ssrn.1364657","DOIUrl":null,"url":null,"abstract":"A new model misspecification measure for linear asset pricing models is proposed for the case where misspecification maps to latency of one of the pricing factors; in this case, the market return. This measure is suited both for testing models that include the market return as a pricing factor in a traditional sense (i.e., whether the chosen model does or does not price a collection of risky assets) and ranking those models (i.e., determining which model performs best). The proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of Jagannathan and Wang (1996) is found to best the performance of both the simple CAPM and the ICAPM of Petkova (2006). Moreover, it is discovered that winner stocks in a momentum portfolio may have higher market betas than loser stocks.","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"11","resultStr":"{\"title\":\"Market Proxies as Factors in Linear Asset Pricing Models: Still Living with the Roll Critique\",\"authors\":\"Todd Prono\",\"doi\":\"10.2139/ssrn.1364657\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"A new model misspecification measure for linear asset pricing models is proposed for the case where misspecification maps to latency of one of the pricing factors; in this case, the market return. This measure is suited both for testing models that include the market return as a pricing factor in a traditional sense (i.e., whether the chosen model does or does not price a collection of risky assets) and ranking those models (i.e., determining which model performs best). The proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of Jagannathan and Wang (1996) is found to best the performance of both the simple CAPM and the ICAPM of Petkova (2006). Moreover, it is discovered that winner stocks in a momentum portfolio may have higher market betas than loser stocks.\",\"PeriodicalId\":369344,\"journal\":{\"name\":\"American Finance Association Meetings (AFA)\",\"volume\":\"45 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-02-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"11\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"American Finance Association Meetings (AFA)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1364657\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"American Finance Association Meetings (AFA)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1364657","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 11

摘要

提出了一种新的线性资产定价模型的模型错配度量方法,当错配映射到其中一个定价因素的延迟时;在这种情况下,市场回报。这个度量既适合测试模型,包括市场回报作为传统意义上的定价因素(即,所选模型是否对一组风险资产进行定价),也适合对这些模型进行排序(即,确定哪个模型表现最好)。所提出的措施用于定价反映规模,价值和动量溢价的投资组合。研究发现,Jagannathan和Wang(1996)的条件CAPM比Petkova(2006)的简单CAPM和ICAPM的绩效都更好。此外,我们还发现,动量投资组合中的赢家股票可能比输家股票具有更高的市场贝塔系数。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Market Proxies as Factors in Linear Asset Pricing Models: Still Living with the Roll Critique
A new model misspecification measure for linear asset pricing models is proposed for the case where misspecification maps to latency of one of the pricing factors; in this case, the market return. This measure is suited both for testing models that include the market return as a pricing factor in a traditional sense (i.e., whether the chosen model does or does not price a collection of risky assets) and ranking those models (i.e., determining which model performs best). The proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of Jagannathan and Wang (1996) is found to best the performance of both the simple CAPM and the ICAPM of Petkova (2006). Moreover, it is discovered that winner stocks in a momentum portfolio may have higher market betas than loser stocks.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
相关文献
二甲双胍通过HDAC6和FoxO3a转录调控肌肉生长抑制素诱导肌肉萎缩
IF 8.9 1区 医学Journal of Cachexia, Sarcopenia and MusclePub Date : 2021-11-02 DOI: 10.1002/jcsm.12833
Min Ju Kang, Ji Wook Moon, Jung Ok Lee, Ji Hae Kim, Eun Jeong Jung, Su Jin Kim, Joo Yeon Oh, Sang Woo Wu, Pu Reum Lee, Sun Hwa Park, Hyeon Soo Kim
具有疾病敏感单倍型的非亲属供体脐带血移植后的1型糖尿病
IF 3.2 3区 医学Journal of Diabetes InvestigationPub Date : 2022-11-02 DOI: 10.1111/jdi.13939
Kensuke Matsumoto, Taisuke Matsuyama, Ritsu Sumiyoshi, Matsuo Takuji, Tadashi Yamamoto, Ryosuke Shirasaki, Haruko Tashiro
封面:蛋白质组学分析确定IRSp53和fastin是PRV输出和直接细胞-细胞传播的关键
IF 3.4 4区 生物学ProteomicsPub Date : 2019-12-02 DOI: 10.1002/pmic.201970201
Fei-Long Yu, Huan Miao, Jinjin Xia, Fan Jia, Huadong Wang, Fuqiang Xu, Lin Guo
来源期刊
自引率
0.00%
发文量
0
期刊最新文献
Director Connections and Board Advising Investment Risk, CDS Insurance, and Firm Financing An Asset Pricing Approach to Testing General Term Structure Models High Leverage and Willingness to Pay: Evidence from the Residential Housing Market Illiquidity Premia in the Equity Options Market
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1