| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21016 |
| 来源ID | Working Paper 21016 |
| The CAPM Strikes Back? An Investment Model with Disasters | |
| Hang Bai; Kewei Hou; Howard Kung; Lu Zhang | |
| 发表日期 | 2015-03-16 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Value stocks are more exposed to disaster risk than growth stocks. Embedding disasters into an investment-based asset pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in explaining the value premium in finite samples in which disasters are not materialized, and its relative success in samples in which disasters are materialized. The relation between pre-ranking market betas and average returns is flat in simulations, despite a strong positive relation between true market betas and expected returns. Evidence in the long U.S. sample from 1926 to 2014 lends support to the model’s key predictions. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w21016 |
| 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/578689 |
| 推荐引用方式 GB/T 7714 | Hang Bai,Kewei Hou,Howard Kung,et al. The CAPM Strikes Back? An Investment Model with Disasters. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
