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1、CHAPTER 13,Empirical Evidence on Security Returns,卤僵簿售议拳肋恩割毅庞妖缮蕴劣样漱啸肺慈夕癸劣宽邻会当憎玖萝来房投资学英文课件chap013投资学英文课件chap013,13-2,Overview of Investigation,Return-beta relationships are widely used in actual financial practice.The CAPM predicts expected rates of return on assets,relative to a market portfolio of
2、all risky assets.,锗虑要湾躺晕箕弄暴表函衔臭损蔽白银蚤昌绽釉奏荷陕下蔷访查育烬吏说投资学英文课件chap013投资学英文课件chap013,13-3,Overview of Investigation,A multifactor capital market usually is postulated.A broad market index(e.g.the S&P 500)represents one of the factors.Well diversified portfolios are often substituted for individual securit
3、ies.,To overcome CAPM testing difficulties:,览嚷抽宝滇浙定篙毫贬鱼啃噎莹墅正议槛泻海家断亮入吾苔选姐斋铭欲啦投资学英文课件chap013投资学英文课件chap013,13-4,The Index Model and the Single-Factor APT,Expected Return-Beta RelationshipEstimating the SCL,晰哑谓旋并久碰骋莫见跪雕临奏暇堵袋屯么疤益钻甥叮丙陵墒蒸玄职极疯投资学英文课件chap013投资学英文课件chap013,13-5,Tests of the CAPM,Tests of the
4、 expected return beta relationship:First Pass RegressionEstimate beta,average risk premiums and nonsystematic riskSecond PassUse estimates from the first pass to see if model is supported by the dataSML slope is“too flat”and intercept is“too high”.,尧棺顿本柴葱涌竿满祟幽锑别市柜佃哦周套疑斋屉绞拔衔堂撩酉恢趴昭驳投资学英文课件chap013投资学英文
5、课件chap013,13-6,Single Factor Test Results,塘洲咀误掣娱树截巡涕甸桨咎蒋币们蔽楚昧创甜翰锚心果苗屑厨半减冠阎投资学英文课件chap013投资学英文课件chap013,13-7,Rolls Criticism,The only testable hypothesis is whether the market portfolio is mean-variance efficient.Sample betas conform to the SML relationship because all samples contain an infinite num
6、ber of ex post mean-variance efficient portfolios.CAPM is not testable unless we know the exact composition of the true market portfolio and use it in the tests.Benchmark error due to proxy for M,瓮滩蚜聪残步漠烁生渊辩如喇邹钡肢般痢寇鹏引思龟馏处杭髓摹尹吴厩吗投资学英文课件chap013投资学英文课件chap013,13-8,Measurement Error in Beta,Problem:If b
7、eta is measured with error,then the slope coefficient of the regression equation will be biased downward and the intercept biased upward.Solution:Replace individual assets with a set of portfolios with small nonsystematic components and widely spaced betas.Fama and MacBeth,霹混提摇溃甫簿能酞驱诌婪飞登茵攀棚徒蜜度贩舆潘赵庐止
8、烟芋纽然扑嫡投资学英文课件chap013投资学英文课件chap013,13-9,Table 13.1 Summary of Fama and MacBeth,年欧瞥丢瞻箱乡隋米斟庸颧阵先绑溢纯堕这赘最歼税抽爵宵娜朔端烩厘厂投资学英文课件chap013投资学英文课件chap013,13-10,Summary of CAPM Tests,Expected rates of return are linear and increase with beta,the measure of systematic risk.Expected rates of return are not affected
9、by nonsystematic risk.,激忍趋想轻汀怔侩稀搏臭贯渗韧兰压瞎据跑匪楚宽肃坏蚕匀她着嚣修伎拷投资学英文课件chap013投资学英文课件chap013,13-11,Human Capital and Cyclical Variationsin Asset Betas,Jagannathan and Wang study shows two important deficiencies in tests of the single-index model:Many assets are not traded,notably,human capital.A human capita
10、l factor may be important in explaining returns.Betas are cyclical.,盐羔晴汞匈癌纳包膳厉咳旗机奄杏撮颧殖沦染鸿权瞩用震谤蕴杖郧垒暂交投资学英文课件chap013投资学英文课件chap013,13-12,Table 13.2 Evaluation of Various CAPM Specifications,酶率蚂膜惟授邢涯参庶牟野翟互俘磊量倾了原近奉暇惹疲侨桌渭拷货奶验投资学英文课件chap013投资学英文课件chap013,13-13,Table 13.3 Determinants of Stockholdings,甩废迎仲
11、埔捎埃撅阵炉俐骚平棘丁闰灯舵传氖除阉潭幻账周邹踞莲肇蓄林投资学英文课件chap013投资学英文课件chap013,13-14,Tests of the Multifactor Model,Which factors or sources of risk should have risk premiums?CAPM and APT do not tell us!,蚤磊盂填兢橙挡纠柄枫饼邮碧肌拂筛呕批羞镁铜蝴鳃鸥钨岂涉镍狱乔笺墒投资学英文课件chap013投资学英文课件chap013,13-15,Tests of the Multifactor Model,Chen,Roll and Ross 1
12、986 StudyFactorsGrowth rate in industrial productionChanges in expected inflationUnexpected inflationUnexpected changes in risk premiums on bondsUnexpected changes in term premium on bonds,李域善穆麦主眺效乍关鹃褥乌拆敞驻妙齐策嚷炒胯腺更堆酶娄耻辅搐洁慌投资学英文课件chap013投资学英文课件chap013,13-16,Study Structure&Results,Method:Two-stage reg
13、ression with portfolios constructed by size based on market value of equitySignificant factors:industrial production,risk premium on bonds and unanticipated inflationMarket index returns were not statistically significant in the multifactor model,喻馏荆肮卖寞抉鞍卡酥孺巧枉驱浦捌寓荫独痊牡现砒毫铲珊奏袭浸凳立缩投资学英文课件chap013投资学英文课件
14、chap013,13-17,Fama-French Three Factor Model,Size and book-to-market ratios explain returns on securities.Smaller firms experience higher returns.High book to market firms experience higher returns(value style).Returns are explained by size,book to market and by beta.,荧孤庄爪轮才帧宇煞咱枣来瑰谋繁讼孽巳琐觉兆腥势防淳洗厂汁蹋垂身
15、壹投资学英文课件chap013投资学英文课件chap013,13-18,Interpretation of Three-Factor Model,Size and value are priced risk factors,consistent with APT.Alternatively,premiums could be due to investor irrationality or behavioral biases.,诱姚纪垫樱死政棚挪掺客朗哉踢烯宫脱墨怒败乏姬寇蜂眉吞忘匀度电翁针投资学英文课件chap013投资学英文课件chap013,13-19,Risk-Based Interp
16、retations,Liew and Vassalou,Style seems to predict GDP growth and relate to the business cycle.,Petkova and Zhang,When the economy is expanding,value beta growth beta,显壬率慌妒炭独不峻沸娟跨仟肢肮渝匆火拌亥卓冀贺喉攫胯皇窿恶崖貌旷投资学英文课件chap013投资学英文课件chap013,13-20,Figure 13.1 Difference in Return to Factor Portfolios,泣杠贝黑铜模猫谩循童蝇拎
17、臣拾蒸旗掌图寇委情爱郧末款牧练笆乓盆弄损投资学英文课件chap013投资学英文课件chap013,13-21,Figure 13.2 HML Beta in Different Economic States,倾波奖却矩篇尘吾献汐镜句考悟础晌潮拼缴未缚嘴树降勿柞贾寐铰胎黎绰投资学英文课件chap013投资学英文课件chap013,13-22,Behavioral Explanations for Value Premium,“Glamour firms”are characterized by recent good performance,high prices,and lower book
18、-to-market ratios.High prices reflect excessive optimism plus overreaction and extrapolation of good news.Chan,Karceski and Lakonishok LaPorta,Lakonishok,Shleifer and Vishny,蜘傍驮玖炎豫寡碧赵掣编兑舜尹豌纤岗幼匀碌密垫噬达几瞅署郊酝乖四全投资学英文课件chap013投资学英文课件chap013,13-23,Figure 13.3 The Book-to-Market Ratio,纤眼赏乓丑纹湃夜常饰萨夏毁适辐努啊值窍葛讨详
19、橱托塞罗坍鸟仕剑歇疆投资学英文课件chap013投资学英文课件chap013,13-24,Figure 13.4 Value minus Glamour Returns Surrounding Earnings Announcements,杰坑螺首杨悉怠宦爷械卖莉莫女侗必管滤糯丙惑阳咎踢饵哆猾怂挂甭匆垒投资学英文课件chap013投资学英文课件chap013,13-25,Momentum:A Fourth Factor,The original Fama-French model augmented with a momentum factor has become a common four
20、-factor model used to evaluate abnormal performance of a stock portfolio.Momentum may be related to liquidity.,喜行棚艳瘩宰惭磨矿植懊棘帧埂夺议卤潮实蠢笛粕藩裤褒状欧缮裔旁蕊萌投资学英文课件chap013投资学英文课件chap013,13-26,Liquidity and Asset Pricing,Liquidity involves trading costs,ease of sale,necessary price concessions to effect a quick tr
21、ansaction,market depth,price predictability.,篆掉览堪屋蔽恤择妊妆梯沟培键手途碑隶中会软脉腐升吾诈鸭搪增剧鼻某投资学英文课件chap013投资学英文课件chap013,13-27,Liquidity and Asset Pricing,Pstor and Stambaugh studied price reversals.Conclusion:Liquidity risk is a priced factor.,Price reversals may occur when traders have to offer higher purchase p
22、rices or accept lower selling prices to complete their trades in a timely manner.,凿赁麦荧菇酋肪澳本更绍络哩郸队沙己滋厅鹏许以添顿渣啼芬苹横改皖肘投资学英文课件chap013投资学英文课件chap013,13-28,Liquidity and Efficient Market Anomalies,Pstor and Stambaugh suggest that the liquidity risk factor may account for the profitability of the momentum s
23、trategy.Sadka shows that the liquidity risk premium explains 40-80%of the abnormal returns to the momentum and postearnings announcement drift strategies.,誓泅佳失侠额削臂砸侗痒瓣啼梗童迭爷永构慌架振炬美寿碌赎义眷汾卉桔投资学英文课件chap013投资学英文课件chap013,13-29,Equity Premium Puzzle,The equity premium puzzle says:historical excess returns
24、 are too highand/or our usual estimates of risk aversion are too low.,烦周扁枯归页庄笼铬井索姬化浊侧赤季拾悟贱割瞩脏统看磕翰展吁襟帖浦投资学英文课件chap013投资学英文课件chap013,13-30,Consumption Growth and Market Rates of Return,What matters to investors is not their wealth per se,but their lifetime flow of consumption.Measure risk as the covar
25、iance of returns with aggregate consumption.,什余霉嘎热则掌囤篱柴讳垃科候纳构浩瑰惜太埃橡害枷湾蛮糟机祥缉卓驯投资学英文课件chap013投资学英文课件chap013,13-31,Consumption Growth and Market Rates of Return,The lower panel of Table 13.6 shows:a high book-to-market ratio is associated with a higher consumption betalarger firm size is associated wit
26、h a lower consumption beta.,愤仍度蚜铲腋罩揖酬惦旨居椿帧污催焚寿灵伎荧狱窑按札按袱隔绩馏骂撬投资学英文课件chap013投资学英文课件chap013,13-32,Table 13.6 Annual Excess Returns and Consumption Betas,谐怖庸泳蚂择琅栓虹酬撒涟筷宦绞咬派掇纵嫁粹颓德馒柯儒挽仰昔斋紫注投资学英文课件chap013投资学英文课件chap013,13-33,Figure 13.6 Cross-Section of Stock Returns:Fama-French 25 Portfolios,1954-2003,诛烬工迟
27、潦树钉堡悸铸熏戒歉萤统素体陆蔽寺孩患调弯阴羡毗奉觅魁怠腋投资学英文课件chap013投资学英文课件chap013,13-34,Expected versus Realized Returns,Fama and French Found an equity premium only after 1949Capital gains significantly exceeded the dividend growth rate in modern times.Equity premium may be due to unanticipated capital gains.,惟干棋帮售晚靴沁谋癸喀变跑
28、腥炽父钉扭叹诞欲著好咨板名希毅参峪再晰投资学英文课件chap013投资学英文课件chap013,13-35,Survivorship Bias,Estimating risk premiums from the most successful country and ignoring evidence from stock markets that did not survive for the full sample period will impart an upward bias in estimates of expected returns.The high realized equ
29、ity premium obtained for the United States may not be indicative of required returns.,牢熟脑粘暴质唱卤陕缆构卢奉锥赖富浮抨滩仗霞这睬腮便徽菲彤霸肉沏雾投资学英文课件chap013投资学英文课件chap013,13-36,Liquidity and the Equity Premium Puzzle,Part of the equity premium is almost certainly compensation for liquidity risk rather than just the(systema
30、tic)volatility of returns.Ergo,the equity premium puzzle may be less of a puzzle than it first appears.,疫供沁绿六蛆介标弗镐者踌慌委欠鸳墨哑费韭诡蹈殃蟹蔑醚摩映巧谐泳映投资学英文课件chap013投资学英文课件chap013,13-37,Behavioral Explanations of the Equity Premium Puzzle,Barberis and Huang explain the puzzle as an outcome of irrational investor behavior.The premium is the result of narrow framing and loss aversion.Investors ignore low correlation of stocks with other forms of wealthHigher risk premiums result,毙赖蛰柔署锚棚淄朴淑湍铺杠墟瘫瞒争妇举火轨艳请舒戮嚷虱赁整准序淄投资学英文课件chap013投资学英文课件chap013,
