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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/46009

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Title:	Do Relative Leverage and Relative Distress Really Explain Size and BM Anomalies?
Authors:	周賓凰;柯冠成;林信助 Chou, Pin-Huang;Ko, Kuan-Cheng;Lin,Shinn-Juh
Contributors:	Midwest Finance Association 國貿系
Keywords:	Anomalies;Asset pricing;Equilibrium anomalies;Relative distress;Relative leverage
Date:	2010-02
Issue Date:	2010-10-06 11:19:23 (UTC+8)
Abstract:	In a capital asset pricing model (CAPM) framework, Ferguson and Shockley [2003. Equilibrium “anomalies”. Journal of Finance 58, 2549–2580] propose two factors constructed on relative leverage and relative distress, and show that the two factors subsume Fama and French`s [1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–56] factors constructed on size and book-to-market (BM) in explaining the cross-sectional average returns of the 25 size-BM portfolios. Based on tests on individual securities, we find that all factors fail to fully explain the common asset-pricing anomalies. In the spirit of Merton`s [1973. An intertemporal capital asset pricing model. Econometrica 41, 867–887] intertemporal CAPM, we propose an augmented five-factor model, which incorporates Ferguson and Shockley`s [2003. Equilibrium “anomalies”. Journal of Finance 58, 2549–2580] factors into the Fama–French three-factor model. The empirical results show that a simple conditional version of the augmented model is able to explain most well-known asset-pricing anomalies.
Relation:	2008 Midwest Finance Association Meeting Journal of Financial Markets, 13(1), 77–100
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.finmar.2009.07.007
DOI:	10.1016/j.finmar.2009.07.007
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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