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題名 Do Relative Leverage and Relative Distress Really Explain Size and BM Anomalies?
作者 周賓凰;柯冠成;林信助
Chou, Pin-Huang; Ko, Kuan-Cheng;Lin,Shinn-Juh
貢獻者 Midwest Finance Association
國貿系
關鍵詞 Anomalies; Asset pricing; Equilibrium anomalies; Relative distress; Relative leverage
日期 2010-02
上傳時間 6-Oct-2010 11:19:23 (UTC+8)
摘要 In a capital asset pricing model (CAPM) framework, Ferguson and Shockley [2003. Equilibrium “anomalies”. Journal of Finance 58, 2549–2580] propose two factors constructed on relative leverage and relative distress, and show that the two factors subsume Fama and French`s [1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–56] factors constructed on size and book-to-market (BM) in explaining the cross-sectional average returns of the 25 size-BM portfolios. Based on tests on individual securities, we find that all factors fail to fully explain the common asset-pricing anomalies. In the spirit of Merton`s [1973. An intertemporal capital asset pricing model. Econometrica 41, 867–887] intertemporal CAPM, we propose an augmented five-factor model, which incorporates Ferguson and Shockley`s [2003. Equilibrium “anomalies”. Journal of Finance 58, 2549–2580] factors into the Fama–French three-factor model. The empirical results show that a simple conditional version of the augmented model is able to explain most well-known asset-pricing anomalies.
關聯 2008 Midwest Finance Association Meeting
Journal of Financial Markets, 13(1), 77–100
資料類型 article
DOI http://dx.doi.org/10.1016/j.finmar.2009.07.007
dc.contributor Midwest Finance Associationen_US
dc.contributor 國貿系-
dc.creator (作者) 周賓凰;柯冠成;林信助zh_TW
dc.creator (作者) Chou, Pin-Huang; Ko, Kuan-Cheng;Lin,Shinn-Juh-
dc.date (日期) 2010-02en_US
dc.date.accessioned 6-Oct-2010 11:19:23 (UTC+8)-
dc.date.available 6-Oct-2010 11:19:23 (UTC+8)-
dc.date.issued (上傳時間) 6-Oct-2010 11:19:23 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/46009-
dc.description.abstract (摘要) In a capital asset pricing model (CAPM) framework, Ferguson and Shockley [2003. Equilibrium “anomalies”. Journal of Finance 58, 2549–2580] propose two factors constructed on relative leverage and relative distress, and show that the two factors subsume Fama and French`s [1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–56] factors constructed on size and book-to-market (BM) in explaining the cross-sectional average returns of the 25 size-BM portfolios. Based on tests on individual securities, we find that all factors fail to fully explain the common asset-pricing anomalies. In the spirit of Merton`s [1973. An intertemporal capital asset pricing model. Econometrica 41, 867–887] intertemporal CAPM, we propose an augmented five-factor model, which incorporates Ferguson and Shockley`s [2003. Equilibrium “anomalies”. Journal of Finance 58, 2549–2580] factors into the Fama–French three-factor model. The empirical results show that a simple conditional version of the augmented model is able to explain most well-known asset-pricing anomalies.-
dc.language.iso en_US-
dc.relation (關聯) 2008 Midwest Finance Association Meetingen_US
dc.relation (關聯) Journal of Financial Markets, 13(1), 77–100-
dc.subject (關鍵詞) Anomalies; Asset pricing; Equilibrium anomalies; Relative distress; Relative leverage-
dc.title (題名) Do Relative Leverage and Relative Distress Really Explain Size and BM Anomalies?en_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.finmar.2009.07.007en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.finmar.2009.07.007en_US