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1、AssetPricingModelsandFinancialMarketAnomaliesDoronAvramovR.H.SmithSchoolofBusiness,UniversityofMarylandTarunChordiaGoizuetaBusinessSchool,EmoryUniversityDownloadedfromThisarticledevelopsaframeworkthatappliestosinglesecuritiestotestwhetherassetpricingmodelscanexplainthesize,value,andmomentumano
2、malies.Stocklevelbetaisallowedtovarywithfirm-levelsizeandbook-to-marketaswellaswithmacroeco-nomicvariables.Withconstantbeta,noneofthemodelsexaminedcaptureanyofthemarketanomalies.Whenbetaisallowedtovary,thesizeandvalueeffectsareoftenrfs.oxfordjournals.orgexplained,buttheexplanatorypowerofpastre
3、turnremainsrobust.Thepastreturneffectiscapturedbymodelmispricingthatvarieswithmacroeconomicvariables.Thecapitalassetpricingmodel(CAPM)ofSharpe(1964)andLintner(1965)haslongbeenabasictenetoffinance.However,subsequentworkatKoreaUniversityLibraryonOctober5,2010byBasu(1977),Banz(1981),Jegadeesh(199
4、0),andFamaandFrench(FF)(1992)suggeststhatcross-sectionaldifferencesinaveragereturnsaredeterminednotonlybythemarketrisk,asprescribedbytheCAPM,butalsobyfirm-levelmarketcapitalization,book-to-market,andpriorreturn.Someinterpretthepredictiveabilityofthesevariablesasevidenceagainstmarketefficiency.
5、Supportformarketefficiencyhasbeenpro-videdbyFama–French(1993,1996)whoshowthat,exceptforthemomentumeffect,theimpactofsecuritycharacteristicsonexpectedreturnscanbeexplainedwithinarisk-basedmultifactormodel.However,thereisstillanongoingdebateaboutwhetherexpectedreturnsareexplainedbyriskfactorsorb
6、ynon-riskfirmcharacteristics.ThefailureoftheCAPMhasalsobeenattributedtoitsstaticnature,and,thus,toitsincompletedescriptionofassetprices.Indeed,boththeoreticalandempiricalworksupporttheuseofdynamicpricingmod-els.Forexample,HansenandRichard(1987)showthatevenifthestaticCAPMfails,adynamicversionof
7、theCAPMcouldbeperfectlyvalid.Inaddition,Gomes,Kogan,andZhang(henceforthGKZ)(2003)developaWethankYakovAmihud,MichaelBrennan,NarasimhanJegadeesh,LeonidKogan,JayShanken,ananonymousreferee,andseminarparticipantsatUniversityofFlorida,GeorgeW
