| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18435 |
| 来源ID | Working Paper 18435 |
| Digesting Anomalies: An Investment Approach | |
| Kewei Hou; Chen Xue; Lu Zhang | |
| 发表日期 | 2012-10-05 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size factor, an investment factor, and a return on equity factor. The new factor model outperforms the Carhart four-factor model in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, net stock issues, composite issuance, as well as on investment and return on equity. The new model performs similarly as the Carhart model in pricing portfolios formed on size and momentum, abnormal corporate investment, as well as on size and book-to-market, but underperforms in pricing the total accrual deciles. The new model's performance, combined with its clear economic intuition, suggests that it can be used as a new workhorse model for academic research and investment management practice. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w18435 |
| 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/576111 |
| 推荐引用方式 GB/T 7714 | Kewei Hou,Chen Xue,Lu Zhang. Digesting Anomalies: An Investment Approach. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18435.pdf（552KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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