Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2020-06-01 DOI:10.1093/RAPSTU/RAZ005

Chris Kirby

引用次数: 11

Abstract

I test a number of well-known asset pricing models using regression-based managed portfolios that capture nonlinearity in the cross-sectional relation between firm characteristics and expected stock returns. Although the average portfolio returns point to substantial nonlinearity in the data, none of the asset pricing models successfully explain the estimated nonlinear effects. Indeed, the estimated expected returns produced by the models display almost no variation across portfolios. Because the tests soundly reject every model considered, it is apparent that nonlinearity in the relation between firm characteristics and expected stock returns poses a formidable challenge to asset pricing theory. (JEL G12, C58)

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企业特征、横截面回归估计和资产定价测试

我使用基于回归的管理投资组合测试了许多知名的资产定价模型，这些模型捕捉了公司特征与预期股票收益之间横截面关系的非线性。虽然平均投资组合收益表明数据中存在实质性的非线性，但没有一个资产定价模型成功地解释了估计的非线性效应。实际上，这些模型得出的预期收益估计在不同的投资组合中几乎没有变化。由于检验完全拒绝了所考虑的每一个模型，很明显，企业特征与预期股票收益之间关系的非线性对资产定价理论提出了巨大的挑战。(凝胶g12, c58)

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 Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.