| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22894 |
| 来源ID | Working Paper 22894 |
| The History of the Cross Section of Stock Returns | |
| Juhani T. Linnainmaa; Michael R. Roberts | |
| 发表日期 | 2016-12-05 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Using data spanning the 20th century, we show that most accounting-based return anomalies are spurious. When examined out-of-sample by moving either backward or forward in time, anomalies' average returns decrease, and volatilities and correlations with other anomalies increase. The data-snooping problem is so severe that even the true asset pricing model is expected to be rejected when tested using in-sample data. Our results suggest that asset pricing models should be tested using out-of-sample data or, when not feasible, by whether a model is able to explain half of the in-sample alpha. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w22894 |
| 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/580567 |
| 推荐引用方式 GB/T 7714 | Juhani T. Linnainmaa,Michael R. Roberts. The History of the Cross Section of Stock Returns. 2016. |
| 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 | ||
| w22894.pdf（762KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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