| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w1908
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| 来源ID | Working Paper 1908
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| Residual Risk Revisited |
| Bruce N. Lehmann
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| 发表日期 | 1986-04-01
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| 出版年 | 1986
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| 语种 | 英语
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| 摘要 | The Capital Asset Pricing Model in conjunction with the usual market model assumptions implies that well-diversified portfolios should be mean variance efficient and ,hence, betas computed with respect to such indices should completely explain expected returns on individual assets. In fact, there is now a large body of evidence indicating that the market proxies usually employed in empirical tests are not mean variance efficient. Moreover, there is considerable evidence suggesting that these rejections are in part a consequence of the presence of omitted risk factors which are associated with nonzero risk premia in the residuals from the single index market model. Consequently, the idiosyncratic variances from the one factor model should partially reflect exposure to these omitted sources of systematic risk and,hence, should help explain expected returns. There are two plausible explanations for the inability to obtain statistically reliable estimates of a linear residual risk effect in the previous literature:(1) nonlinearity of the residual risk effect and (2) the inadequacy of the statistical procedures employed to measure it.The results presented below indicate that the econometric methods employed previously are the culprits. Pronounced residual risk effects are found in the whole fifty-four year sample and in numerous five year subperiods as well when weighted least squares estimation is coupled with the appropriate corrections for sampling error in the betas and residual variances of individual security returns. In addition, the evidence suggests that it is important to take account of the nonnormality and heteroskedasticity of security returns when making the appropriate measurement error corrections in cross-sectional regressions. Finally, the results are sensitive to the specification of the model for expected returns. |
| 主题 | Financial Economics
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| URL | https://www.nber.org/papers/w1908
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559156
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推荐引用方式
GB/T 7714 |
Bruce N. Lehmann. Residual Risk Revisited. 1986.
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文件名：
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w1908.pdf
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格式：
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Adobe PDF
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