公司特征的持久性和过渡性成分：对资产定价的影响

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-03-01 DOI:10.1016/j.jfineco.2024.103808

Fahiz Baba-Yara , Martijn Boons , Andrea Tamoni

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引用次数: 0

摘要

我们使用一个模型来研究横截面收益率可预测性的跨度维度，在这个模型中，特征既包含持续性成分，也包含过渡性成分。我们检验了这一模型对流行的基于特征的交易策略在投资组合形成后的长短期平均回报率的影响。我们的证据支持这样的说法，即不同特征对持久性和短暂性成分的相对补偿在幅度和符号上都有所不同。基准因子模型无法解释根据持续性或短暂性成分占主导地位的特征分类的投资组合的收益。最后，我们讨论了对企业长期贴现率的影响。

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Persistent and transitory components of firm characteristics: Implications for asset pricing

We study the horizon dimension of cross-sectional return predictability using a model where characteristics contain both persistent and transitory components. We test the implications of this model for the average returns of popular characteristic-based trading strategies at short versus long horizons after portfolio formation. Our evidence supports the claim that the relative compensation for persistent and transitory components varies across characteristics, in both magnitude and sign. Benchmark factor models cannot explain the returns of portfolios sorted on characteristics where either the persistent or transitory component is dominant. Finally, we discuss implications for the long-term discount rates of firms.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.