全球智库信息集成服务系统(G2TT): Estimation Risk, Market Efficiency, and the Predictability of Returns

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w7699
来源ID	Working Paper 7699
	Estimation Risk, Market Efficiency, and the Predictability of Returns
	Jonathan Lewellen; Jay Shanken
发表日期	2000-05-01
出版年	2000
语种	英语
摘要	In asset pricing, estimation risk refers to investor uncertainty about the parameters of the return or cashflow process. We show that with estimation risk the observable properties of prices and returns can differ significantly from the properties perceived by rational investors. In particular, parameter uncertainty will tend to induce return predictability in ways that resemble irrational mispricing, and prices can violate familiar volatility bounds when investors are rational. Cross-sectionally, expected returns deviate from the CAPM even if investors attempt to hold mean-variance efficient portfolios, and these deviations can be predictable based on past dividends and prices. In short, estimation risk can be important for characterizing and testing market efficiency.
主题	Econometrics ; Estimation Methods ; Microeconomics ; Economics of Information
URL	https://www.nber.org/papers/w7699
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/565260
推荐引用方式 GB/T 7714	Jonathan Lewellen,Jay Shanken. Estimation Risk, Market Efficiency, and the Predictability of Returns. 2000.