On Factor- and Characteristic- Based Explanations of Size and BM Anomalies
碩士 === 國立中央大學 === 財務金融研究所 === 94 === We show a CAPM framework and use different sorting ways to derive implied returns. We take advantage of Fama-MacBeth (1973) cross-section regression to test whether size and BM are included into this implied return. The results display that the implied return onl...
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89209579466859647834 |
| Summary: | 碩士 === 國立中央大學 === 財務金融研究所 === 94 === We show a CAPM framework and use different sorting ways to derive implied returns. We take advantage of Fama-MacBeth (1973) cross-section regression to test whether size and BM are included into this implied return. The results display that the implied return only has significantly explaining power under some sorting ways in post-1981 period. However, it can not subsume size and BM effects. In addition, we also make use of the expected return which is derived from Characteristic model and three-factor loadings to run cross-section regression. We find that the characteristic model has greater explaining power than three-factor model. Nevertheless, size and BM effects cannot be absorbed by the factor or characteristic model.
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