资产定价中的非标准误差：注意分类

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE Journal of Empirical Finance Pub Date : 2024-06-04 DOI:10.1016/j.jempfin.2024.101517

Amar Soebhag , Bart Van Vliet , Patrick Verwijmeren

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引用次数: 0

摘要

非标准误差反映了因研究设计选择不同而产生的差异。我们记录了资产定价因子模型中设计选择的巨大差异，并发现不同因子的非标准误差与标准误差的平均比率超过 1。使用 NAN 断点而非 NYSE 断点能最大程度地提高平均夏普比率，从 0.46 提高到 0.63。其他重要的设计选择涉及剔除小盘股、行业调整和再平衡频率，这凸显了研究人员明确描述和激励这些选择的必要性。

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Non-standard errors in asset pricing: Mind your sorts

Non-standard errors capture variation due to differences in research design choices. We document large variation in design choices in the context of asset pricing factor models and find that the average ratio of the non-standard error to the standard error across factors exceeds one. Using NAN breakpoints instead of NYSE breakpoints improves the average Sharpe ratios the most, from 0.46 to 0.63. Other important design choices relate to excluding microcaps, industry-adjusting, and the rebalancing frequency, which highlights the need for researchers to clearly describe and motivate these choices.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.

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