Putting the Price in Asset Pricing

IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE
THUMMIM CHO, CHRISTOPHER POLK
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引用次数: 0

Abstract

We propose a novel way to estimate a portfolio's abnormal price, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time-series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long-horizon returns. We apply our techniques to study the cross-section of price levels relative to the capital asset pricing model (CAPM) and find that a single characteristic, adjusted value, provides a parsimonious model of CAPM-implied abnormal price.

Abstract Image

资产定价中的价格问题
我们提出了一种估算投资组合异常价格的新方法,即价格与用选定资产定价模型计算的股息现值之间的百分比差距。我们的方法基于一种新的特性,类似于异常收益的时间序列估算器,避免了其他方法的问题,并阐明了风险和错误定价在长期收益中的作用。我们运用我们的技术研究了相对于资本资产定价模型(CAPM)的价格水平横截面,发现调整后价值这一单一特征提供了一个 CAPM 暗示异常价格的简明模型。
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来源期刊
Journal of Finance
Journal of Finance Multiple-
CiteScore
12.90
自引率
2.50%
发文量
88
期刊介绍: The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.
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