全球智库信息集成服务系统(G2TT): A Dynamic Model of Characteristic-Based Return Predictability

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w25777
来源ID	Working Paper 25777
	A Dynamic Model of Characteristic-Based Return Predictability
	Aydoğan Alti; Sheridan Titman
发表日期	2019-04-29
出版年	2019
语种	英语
摘要	We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of systematic risk for portfolios of firms sorted on value, profitability, and asset growth. If investors are overconfident about their ability to evaluate the disruption climate, these characteristic-sorted portfolios exhibit persistent mispricing. The model generates predictions about the conditional predictability of characteristic-sorted portfolio returns and illustrates how return persistence increases the likelihood of observing characteristic-based anomalies.
主题	Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w25777
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/583451
推荐引用方式 GB/T 7714	Aydoğan Alti,Sheridan Titman. A Dynamic Model of Characteristic-Based Return Predictability. 2019.