ffe notes 20 aset pricing anomalies and the capmffe notes 20 asset pricing anomalies and the capm.docVIP

下载本文档

2
0
约1.3万字
约 7页
2017-01-05 发布于贵州
举报
版权申诉

ffe notes 20 aset pricing anomalies and the capmffe notes 20 asset pricing anomalies and the capm.doc

1、有哪些信誉好的足球投注网站（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。。
2、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击这里二次下载。
3、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
4、该文档为VIP文档，如果想要下载，成为VIP会员后，下载免费。
5、成为VIP后，下载本文档将扣除1次下载权益。下载后，不支持退款、换文档。如有疑问请联系我们。
6、成为VIP后，您将拥有八大权益，权益包括：VIP文档下载权益、阅读免打扰、文档格式转换、高级专利检索、专属身份标志、高级客服、多端互通、版权登记。
7、VIP文档为合作方或网友上传，每下载1次，网站将根据用户上传文档的质量评分、类型等，对文档贡献者给予高额补贴、流量扶持。如果你也想贡献VIP文档。上传文档

ffe notes 20 aset pricing anomalies and the capmffe notes 20 asset pricing anomalies and the capm

Financial Economics Notes 20 Asset Pricing Anomalies and the CAPM Calendar Anomalies (Seasonality in Stock Returns) (For references see Sharpe et al. chapter 16) Weekend Effect French (1980): Monday Returns are significantly lower than on other days The January Effect (End of the Year Effect) Rozeff and Kinney (1976): Returns higher in January (end of the USA tax year). In the UK there is both a January Effect and a similar effect in April (the end of the UK tax year). The Monthly Effect (End of the Month Effect) Ariel (1987): Returns higher in the first half of month. Lakonishok and Smidt (1988): Higher returns in the first three trading days of the month plus the last trading day of the previous month Holiday Effect Ariel (1990): Returns higher on the two trading days preceding public holidays Intraday Effect Harris (1986): Returns highest over the last two trades of the day. The Size Effect Banz(1981): average returns found to be higher for small firms. Keim (1983): most of the small firm effect occurs in January. These are called ‘anomalies’ because they are not predicted: they apparently violate the CAPM. Note that they do not always persist. For example, size effect reversals have occasionally observed. Anomalies may not indicate market inefficiency, because rational economic explanations may exist. Furthermore, it may not be possible to exploit the anomalies for gain (because of transactions costs). CAPM Anomalies: The Size Effect and Other Anomalies 1. Banz (1981) used the ‘two-pass’ methodology of Black, Jensen and Scholes (1972) and Fama and MacBeth (1973). First pass: prior estimates of asset betas were made using the market model with 5 years of monthly returns data. Assets were grouped into portfolios and the portfolio betas were re-estimated using 60 further months of data. Second pass: the portfolio betas were used in 12 monthly cross-sectional regressions of the form (1) Here is the average market value of stocks in portfolio i in month t