贝塔异常是真的吗?对现有资本成本和资产定价理论的修正

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2023-05-16 DOI:10.1177/09726527231160863

Vinod Kumar

{"title":"贝塔异常是真的吗?对现有资本成本和资产定价理论的修正","authors":"Vinod Kumar","doi":"10.1177/09726527231160863","DOIUrl":null,"url":null,"abstract":"Researchers argue about the beta anomaly and related anomalies in the capital market based on existing theories of asset pricing. This article shows that the observed beta anomaly is added due to the mathematical errors, inconsistencies, and limitations in existing theories. We propose a general theory for central concepts in asset pricing, including beta and cost of capital, that holds for growth, taxes, and risky debt. Our theory addresses observed beta-related anomalies and other phenomena, and provides a clearer taxonomy for ongoing research and a step toward resolving several issues. The findings are highly significant for researchers and firms. JEL Codes: G32, G12, G11, G35","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":"22 1","pages":"135 - 163"},"PeriodicalIF":1.2000,"publicationDate":"2023-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Is the Beta Anomaly Real? A Correction in Existing Theories of Cost of Capital and Asset Pricing\",\"authors\":\"Vinod Kumar\",\"doi\":\"10.1177/09726527231160863\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Researchers argue about the beta anomaly and related anomalies in the capital market based on existing theories of asset pricing. This article shows that the observed beta anomaly is added due to the mathematical errors, inconsistencies, and limitations in existing theories. We propose a general theory for central concepts in asset pricing, including beta and cost of capital, that holds for growth, taxes, and risky debt. Our theory addresses observed beta-related anomalies and other phenomena, and provides a clearer taxonomy for ongoing research and a step toward resolving several issues. The findings are highly significant for researchers and firms. JEL Codes: G32, G12, G11, G35\",\"PeriodicalId\":44100,\"journal\":{\"name\":\"Journal of Emerging Market Finance\",\"volume\":\"22 1\",\"pages\":\"135 - 163\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2023-05-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Emerging Market Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1177/09726527231160863\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Emerging Market Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/09726527231160863","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

研究者基于现有的资产定价理论，对资本市场的贝塔异常及相关异常进行了争论。本文表明，观测到的β异常是由于数学错误、不一致和现有理论的局限性而增加的。我们提出了一个关于资产定价核心概念的一般理论，包括贝塔和资本成本，适用于增长、税收和风险债务。我们的理论解决了观察到的β相关异常和其他现象，并为正在进行的研究提供了更清晰的分类，并朝着解决几个问题迈出了一步。这些发现对研究人员和企业来说意义重大。JEL代码:G32, G12, G11, G35

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Is the Beta Anomaly Real? A Correction in Existing Theories of Cost of Capital and Asset Pricing

Researchers argue about the beta anomaly and related anomalies in the capital market based on existing theories of asset pricing. This article shows that the observed beta anomaly is added due to the mathematical errors, inconsistencies, and limitations in existing theories. We propose a general theory for central concepts in asset pricing, including beta and cost of capital, that holds for growth, taxes, and risky debt. Our theory addresses observed beta-related anomalies and other phenomena, and provides a clearer taxonomy for ongoing research and a step toward resolving several issues. The findings are highly significant for researchers and firms. JEL Codes: G32, G12, G11, G35

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.