对价值、盈利能力和投资异常进行统一的基于持续时间的解释

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2025-09-13 DOI:10.1016/j.jempfin.2025.101645

Shan Chen , Tao Li

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引用次数: 0

摘要

两个源于股权回报向下倾斜的期限结构的持续时间因素解释了价值、盈利能力和投资溢价。一个因素反映了短期和长期存续期之间的收益差，另一个因素衡量了与存续期转换相关的风险溢价差异。这些持续时间效应共同包含了价值、盈利能力和投资在股权回报横截面上的解释力。我们的研究表明，这三种和其他相关的异常可以统一在一个基于风险的框架中。这些异常现象可能源于公司存续期与其基本面之间的动态关系。

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A unified duration-based explanation of the value, profitability, and investment anomalies

Two duration factors that arise from the downward-sloping term structure of equity returns explain the value, profitability, and investment premiums. One factor captures the spread of returns between short and long durations, and the other measures the difference in risk premiums associated with duration transitions. These duration effects jointly subsume the explanatory power of the value, profitability, and investment in the cross-section of equity returns. Our study shows that these three and other related anomalies can be unified in a risk-based framework. These anomalies may arise from the dynamic relations between firms’ durations and their fundamentals.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.