Confirming Anomalies

IF 0.3 Q4 BUSINESS, FINANCE

Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-08-31 DOI:10.1142/s0219091521500247

Peter T. Chinloy, Matthew Imes

引用次数: 0

Abstract

A procedure confirms whether a return-factor correlation is anomalous or results from endogenous simultaneous-equations bias. The identification strategy sorts the cost of capital components for instruments. In the first stage, the initially found factors are regressed on cost instruments. In the second stage, a confirmed anomaly has predicted value significant in returns and exogenous. Taxes, depreciation and capital structure are strong instruments, affecting 1980–2017 quarterly U.S. stock returns. Size, value and profitability decisions are significant in instruments. Returns increase in fitted profits, but not small size. Actual and predicted values have weaker correlation with returns over time.

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确认异常

一个程序确认返回因子相关性是异常的还是由内生联立方程偏差引起的。识别策略对工具的资本组成部分的成本进行分类。在第一阶段，将最初发现的因素在成本工具上进行回归。在第二阶段，已确认的异常具有显著的回报和外生的预测值。税收、折旧和资本结构是强有力的工具，影响1980-2017年美国股票季度回报。规模、价值和盈利能力决策在工具中具有重要意义。回报增加了拟合利润，但规模不小。随着时间的推移，实际值和预测值与回报的相关性较弱。

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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来源期刊

Review of Pacific Basin Financial Markets and Policies BUSINESS, FINANCE-

CiteScore

1.30

自引率

11.10%

发文量

期刊介绍： This journal concentrates on global interdisciplinary research in finance, economics and accounting. The major topics include: 1. Business, economic and financial relations among the Pacific rim countries. 2. Financial markets and industries. 3. Options and futures markets of the United States and other Pacific rim countries. 4. International accounting issues related to U.S. companies investing in Pacific rim countries. 5. The issue of and strategy for developing Tokyo, Taipei, Shanghai, Sydney, Seoul, Hong Kong, Singapore, Kuala Lumpur, Bangkok, Jakarta, and Manila as international or regional financial centers. 6. Global monetary and foreign exchange policy, and 7. Other high quality interdisciplinary research in global accounting, business, economics and finance.