法马因子和法国因子方差的共同成分

IF 3.8 3区 经济学 Q1 BUSINESS, FINANCE
Masoumeh Fathi , Klaus Grobys , Janne Äijö
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引用次数: 0

摘要

这是第一项明确探讨法马和弗伦奇股票因子实现方差风险的研究。我们的研究结果表明,已实现的因子方差表现出很强的幂律行为。一个显著的共同点是,无论分析哪个因子方差,幂律指数都接近 α ≈ 2。值得注意的是,我们为检验曼德尔布罗特在已实现因子方差横截面中的无限方差假说而设计的新颖联合检验表明,α = 1.9 的零假设不能被拒绝,这进一步证实了以下证据:(a)存在支配因子方差风险的共同成分;(b)因子方差风险在统计上是不确定的。共折线分析得出的进一步证据表明,(c) 风险分散似乎非常有限,因为因子方差往往不约而同地表现出幂律行为。我们认为,我们的研究具有若干理论和实践意义--特别是鉴于因子投资管理的资产已达到 5 万亿美元这一事实。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A common component of Fama and French factor variances
This is the first study that explicitly explores the risk of the Fama and French equity factors in terms of their realized variances. Our results show that realized factor variances exhibit strong power-law behavior. A striking commonality is that the power-law exponents are close to α ≈ 2 regardless of which factor variance is analyzed. Notably, our novel joint test designed to test Mandelbrot’s infinite variance hypothesis in the cross-section of realized factor variances shows that the null hypothesis of α = 1.9 cannot be rejected, which further corroborates the evidence that (a) there exist a common component governing factor variance risk, and (b) factor variance risk is statistically undefined. Further evidence derived from co-fractality analysis shows that (c) risk diversification appears to be very limited as factor variances tend to exhibit power-law behavior coincidently. We argue that our study has several theoretical and practical implications—especially due to the fact that factor investing reached $5 trillion in assets under management.
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来源期刊
CiteScore
7.30
自引率
8.30%
发文量
168
期刊介绍: The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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