Open AccessPosted Content
Digesting Anomalies: An Investment Approach
Kewei Hou,Chen Xue,Lu Zhang +2 more
TLDR
In this paper, the authors proposed a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor.Abstract:
Motivated from investment-based asset pricing, we propose a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor The new model [i] outperforms the Carhart (1997) four-factor model in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, equity issues, as well as on investment and return-on-equity; [ii] performs similarly as the Carhart model in pricing portfolios on momentum as well as on size and book-to-market; but [iii] underperforms in pricing the total accrual deciles Our model's performance, combined with its clear economic intuition, suggests that it can serve as a new workhorse model for academic research and investment management practiceread more
Citations
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Learning and the Capital Age Premium
Kai Li,Chi-Yang Tsou,Chenjie Xu +2 more
TL;DR: In this article, the authors introduce imperfect information and parameter learning into a production-based asset pricing model, which features slow learning about firms' exposure to aggregate productivity shocks over time, and provide a unified explanation for the stylized empirical features of the cross-section of stocks that differ in capital age.
Dissertation
Exploring Risk Factors on Chinese A Share Stock Market - in the Frame of Fama - French Factor Model
TL;DR: In this article, the authors explore the applicability of Fama-French Three-Factor (FF3F) model and the latest FF5F model considering several special features of Chinese stock market.
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A Review on Machine Learning for Asset Management
TL;DR: The theoretical background of both machine learning and finance that will be needed to understand the reviewed methods are described and the most common performance criteria that are applied to compare such methods quantitatively are described.
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Multifactor Index Construction: A Skeptical Appraisal of Bottom-Up Approaches
TL;DR: In this paper, the authors contrast the claims of promoters of "bottom-up" approaches for constructing multi-factor equity portfolios with relevant findings in the academic literature, and conclude that these findings give rise to a healthy dose of skepticism concerning the superiority claims of bottom-up proponents.
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Construction, Systematic Risk, and Stock-Level Investment Anomalies
Kevin Aretz,Anastasios Kagkadis +1 more
TL;DR: The authors showed that the tendency of high real-investment stocks to underperform others (investment anomaly) is almost entirely attributable to firms physically constructing new capacity and that their profits became less sensitive to their industries' conditions after that year.
References
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Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
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Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
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Does the Stock Market Overreact
TL;DR: In this article, a study of market efficiency investigates whether people tend to "overreact" to unexpected and dramatic news events and whether such behavior affects stock prices, based on CRSP monthly return data, is consistent with the overreaction hypothesis.
Journal ArticleDOI
Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors show that many of the CAPM average-return anomalies are related, and they are captured by the three-factor model in Fama and French (FF 1993).
Related Papers (5)
CAPM tests and alternative factor portfolio composition: getting the alphas right
Lieven De Moor,Piet Sercu +1 more