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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2016.6
- 수록면
- 1 - 64 (64page)
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We identify and horse race three causes for the underperformance of some asset pricing models: investor irrationality, transaction costs, and missing risk factors. Specifically, we regress the difference of realized over expected returns (pricing error) per various asset pricing models onto proxies for the reasons for explanatory breakdown. First, for the capital asset pricing model (CAPM) and six other models we find that both investor irrationality and transaction costs are significantly related to the pricing error controlling for firm size and valuation. Second, models with more risk factors than the CAPM cannot overcome the shortcoming of the CAPM due to investor irrationality and transaction costs. In conclusion, transaction costs and investor irrationality are shown to be impediments to enhancing the prediction power of tested models regardless of additional risk factors.
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참고문헌 (87)
참고문헌 신청
Acharya, Viral V / 2005 / Asset pricing with liquidity risk / Journal of Financial Economics 77:375~410
Amihud, Yakov / 2002 / Illiquidity and stock returns : cross-section and timeseries effects / Journal of Financial Markets 5:31~56
Amihud, Yakov / 1986 / Asset pricing and the bid-ask spread / Journal of Financial Economics 17:223~249
Baker, Malcolm / 2006 / Investor sentiment and the cross-section of stock returns / Journal of Finance 61:1645~1680
Barber, B. M / 2009 / Do Retail Trades Move Markets? / Review of Financial Studies 22:151~186
Amihud, Yakov / 2002 / Illiquidity and stock returns : cross-section and timeseries effects / Journal of Financial Markets 5:31~56
Amihud, Yakov / 1986 / Asset pricing and the bid-ask spread / Journal of Financial Economics 17:223~249
Baker, Malcolm / 2006 / Investor sentiment and the cross-section of stock returns / Journal of Finance 61:1645~1680
Barber, B. M / 2009 / Do Retail Trades Move Markets? / Review of Financial Studies 22:151~186
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