Asset Pricing Models and Financial Market Anomalies
Top Cited Papers
- 20 February 2006
- journal article
- research article
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 19 (3) , 1001-1040
- https://doi.org/10.1093/rfs/hhj025
Abstract
This article develops a framework that applies to single securities to test whether asset pricing models can explain the size, value, and momentum anomalies. Stock level beta is allowed to vary with firm-level size and book-to-market as well as with macroeconomic variables. With constant beta, none of the models examined capture any of the market anomalies. When beta is allowed to vary, the size and value effects are often explained, but the explanatory power of past return remains robust. The past return effect is captured by model mispricing that varies with macroeconomic variables.Keywords
This publication has 52 references indexed in Scilit:
- Predicting stock returns☆Journal of Financial Economics, 2006
- Stock Return Predictability and Asset Pricing ModelsThe Review of Financial Studies, 2003
- Stock return predictability and model uncertaintyJournal of Financial Economics, 2002
- MARKET STRUCTURE AND REPORTED TRADING VOLUME: NASDAQ VERSUS THE NYSEJournal of Financial Research, 1997
- On the Predictive Power of Interest Rates and Interest Rate SpreadsPublished by National Bureau of Economic Research ,1990
- Empirical Test of the Consumption-Oriented CAPMThe Journal of Finance, 1989
- Asset pricing and the bid-ask spreadJournal of Financial Economics, 1986
- An intertemporal asset pricing model with stochastic consumption and investment opportunitiesJournal of Financial Economics, 1979
- Anomalies in relationships between securities' yields and yield-surrogatesJournal of Financial Economics, 1978
- Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market HypothesisThe Journal of Finance, 1977