全球智库信息集成服务系统(G2TT): Covariances versus Characteristics in General Equilibrium

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w17285
来源ID	Working Paper 17285
	Covariances versus Characteristics in General Equilibrium
	Xiaoji Lin; Lu Zhang
发表日期	2011-08-11
出版年	2011
语种	英语
摘要	We question a deep-ingrained doctrine in asset pricing: If an empirical characteristic-return relation is consistent with investor "rationality," the relation must be "explained" by a risk factor model. The investment approach changes the big picture of asset pricing. Factors formed on characteristics are not necessarily risk factors: Characteristics-based factor models are linear approximations of firm-level investment returns. The evidence that characteristics dominate covariances in horse races does not necessarily mean mispricing: Measurement errors in covariances are more likely to blame. Most important, the investment approach completes the consumption approach in general equilibrium, especially for cross-sectional asset pricing.
主题	Microeconomics ; General Equilibrium ; Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance
URL	https://www.nber.org/papers/w17285
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/574960
推荐引用方式 GB/T 7714	Xiaoji Lin,Lu Zhang. Covariances versus Characteristics in General Equilibrium. 2011.

条目包含的文件
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