Microfounding the Fama-MacBeth Regression

Pablo Castañeda, J. Sabat
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引用次数: 1

Abstract

Since Fama and French (1993), 502 papers that attempt to identify factors that determine equilibrium asset prices have been published in major finance journals. None of these papers, however, ask the question whether these factors matter to fund managers investment decisions. Our paper attempts to answer this question studying the industry allocation decisions of active US mutual funds and by recovering their implied expected returns. In particular, we take 7 major published asset pricing models and estimate the implied expected factor risk premiums in order to fit fund managers observed asset allocation. Existing models are then compared in terms of their implied mean-variance efficiency (Sharpe ratio) of the observed market portfolio. We find that the traditional macroeconomic risk factor model proposed by Chen et al. (1986) is the only one that can produce a risk-return trade-off that is internally consistent with fund managers risk preferences, as well as, that has explanatory power of the equity risk premium across the business cycle.
微观法玛-麦克白回归
自Fama和French(1993)以来,已有502篇试图确定决定均衡资产价格的因素的论文发表在主要金融期刊上。然而,这些论文都没有提出这些因素对基金经理的投资决策是否重要的问题。本文试图通过研究主动型美国共同基金的行业配置决策,并通过恢复其隐含预期收益来回答这个问题。特别地,我们采用了7种主要的资产定价模型,并估计了隐含的预期因子风险溢价,以拟合基金经理观察到的资产配置。然后根据观察到的市场组合的隐含均值方差效率(夏普比率)对现有模型进行比较。我们发现,Chen et al.(1986)提出的传统宏观经济风险因素模型是唯一能够产生与基金经理风险偏好内部一致的风险收益权衡的模型,并且在整个经济周期中对股票风险溢价具有解释力。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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