均衡资产定价与预期收益的横截面

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2021-03-24 DOI:10.1007/s10436-021-00383-7

Joel M. Vanden

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引用次数: 1

摘要

在具有代表性代理人的均值-方差框架中，只要市场投资组合由模仿因素的投资组合跨越，预期回报横截面的任何线性模型都可以作为平衡得到支持。只要满足生成条件，任何一组因子都是可接受的。基于规模、账面价值、动量、投资、盈利能力、行为偏差、主要成分或这些因素的任何组合的因素都可以用作平衡因素。具有M个风险因素的均衡模型可以简化为M个模型的集合，其中每个模型都有一个单一的风险因素，该风险因素与市场投资组合是协方差的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Equilibrium asset pricing and the cross section of expected returns

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Equilibrium asset pricing and the cross section of expected returns

In a mean-variance framework with a representative agent, any linear model for the cross section of expected returns can be supported as an equilibrium as long as the market portfolio is spanned by the factor mimicking portfolios. Any set of factors is admissible as long as the spanning condition is satisfied. Factors based on size, book-to-market, momentum, investment, profitability, behavioral biases, principal components, or any combination of these can be used as equilibrium factors. An equilibrium model with M risk factors can be reduced to a collection of M models where each model has a single risk factor, which is covariance with the market portfolio.

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来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance