{"title":"(C)CAPM如何消化异常?","authors":"Qi Shi","doi":"10.1080/10293523.2022.2034353","DOIUrl":null,"url":null,"abstract":"ABSTRACT In a pioneering effort, we re-evaluate the performance of (C)CAPM (joint CAPM and consumption CAPM) in digesting a large number of anomalies. Our key contribution illustrates that the performance of (C)CAPM appears to be quite sensitive to the choice of weighting matrix. OLS cross-sectional regression reveals the poor performance of (C)CAPM. In contrast, the CAPM model actually explains a large portion of anomalies quite well when using an efficient weighting matrix (GLS), indicating that the prior expectation that the CAPM exhibits poor empirical performance should fundamentally be reversed.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"51 1","pages":"1 - 13"},"PeriodicalIF":1.2000,"publicationDate":"2022-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"How does (C)CAPM digest anomalies?\",\"authors\":\"Qi Shi\",\"doi\":\"10.1080/10293523.2022.2034353\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"ABSTRACT In a pioneering effort, we re-evaluate the performance of (C)CAPM (joint CAPM and consumption CAPM) in digesting a large number of anomalies. Our key contribution illustrates that the performance of (C)CAPM appears to be quite sensitive to the choice of weighting matrix. OLS cross-sectional regression reveals the poor performance of (C)CAPM. In contrast, the CAPM model actually explains a large portion of anomalies quite well when using an efficient weighting matrix (GLS), indicating that the prior expectation that the CAPM exhibits poor empirical performance should fundamentally be reversed.\",\"PeriodicalId\":44496,\"journal\":{\"name\":\"Investment Analysts Journal\",\"volume\":\"51 1\",\"pages\":\"1 - 13\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2022-01-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Investment Analysts Journal\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/10293523.2022.2034353\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Investment Analysts Journal","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/10293523.2022.2034353","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
ABSTRACT In a pioneering effort, we re-evaluate the performance of (C)CAPM (joint CAPM and consumption CAPM) in digesting a large number of anomalies. Our key contribution illustrates that the performance of (C)CAPM appears to be quite sensitive to the choice of weighting matrix. OLS cross-sectional regression reveals the poor performance of (C)CAPM. In contrast, the CAPM model actually explains a large portion of anomalies quite well when using an efficient weighting matrix (GLS), indicating that the prior expectation that the CAPM exhibits poor empirical performance should fundamentally be reversed.
期刊介绍：
The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.
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