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发表于 2013-8-4 11:04 PM
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本帖最后由 Diffusion 于 2013-8-4 11:30 PM 编辑
http://www.dfaus.com/2009/05/exp ... erature-survey.html
Earnings / Price
One of the early studies that contradicted the predictions of the CAPM was Basu (1977). Using a sample period that stretched from April 1957 to March 1971, Basu showed that stocks with high earnings/price ratios (or low P/E ratios) earned significantly higher returns than stocks with low earnings/price ratios. His results indicated that differences in beta could not explain these return differences. In a follow-up study, Basu (1983) showed that this "E/P effect" is not just observed among small cap stocks. A later study by Jaffe, Keim and Westerfield (1989) confirmed this finding and also showed that the E/P effect does not just appear in the month of January, as had been claimed by some researchers. The E/P effect is a direct contradiction of the CAPM; beta should be all that matters.
Firm Size
Banz (1981) uncovered another apparent contradiction of the CAPM by showing that the stocks of firms with low market capitalizations have higher average returns than large cap stocks. Other researchers (e.g., Basu, 1983) showed that the size effect is distinct from the E/P effect discussed above. Small firms tend to have higher returns, even after controlling for E/P.
Proponents of the CAPM are quick to point out that small firms tend to have higher betas than large firms, so we would expect to see higher average returns for small firms. However, the beta differences are not large enough to explain the observed return differences. Once again, the CAPM predictions are violated.
Long-Term Return Reversals
DeBondt and Thaler (1985) identify "losers" as stocks that have had poor returns over the past three to five years. "Winners" are those stocks that had high returns over a similar period. The main result of DeBondt and Thaler is that losers have much higher average returns than winners over the next three to five years. Chopra, Lakonishok and Ritter (1992) show that beta cannot account for this difference in average returns. This tendency of returns to reverse over long horizons (i.e., losers become winners) is yet another contradiction of the CAPM. Losers would have to have much higher betas than winners in order to justify the return difference. Chopra, Lakonishok and Ritter (1992) show that the beta difference required to save the CAPM is not there.
Book-to-Market Equity
Rosenberg, Reid and Lanstein (1985) provide yet another piece of evidence against the CAPM by showing that stocks with high ratios of book value of common equity to market value of common equity (also known as book-to-market equity, or BtM) have significantly higher returns than stocks with low BtM. Since the sample period for this study is fairly short (1973-1984), the empirical results did not receive as much attention as some of the other studies discussed above. However, when Chan, Hamao and Lakonishok (1991) found similar results in the Japanese market, BtM began to receive serious attention as a variable that could produce dispersion in average returns.
Leverage
Bhandari (1988) finds that firms with high leverage (high debt/equity ratios) have higher average returns than firms with low leverage for the 1948-1979 period. This result persists after size and beta are included as explanatory variables. High leverage increases the riskiness of a firm's equity, but this increased risk should be reflected in a higher beta coefficient. Consequently, Bhandari's results are yet another deviation from the CAPM predictions.
Momentum
Jegadeesh (1990) found that stock returns tend to exhibit short-term momentum; stocks that have done well over the previous few months continue to have high returns over the next month. In contrast, stocks that have had low returns in recent months tend to continue the poor performance for another month. A study by Jegadeesh and Titman (1993) would later confirm these results, showing that the momentum lasts for more than just one month. Their study also indicates that the momentum is stronger for firms that have had poor recent performance. The tendency of recent good performance to continue is weaker. Note that the pattern here is the opposite of that found in the long-term overreaction papers. In those studies, long-term losers outperform long-term winners. In the momentum studies, short-term winners outperform short-term losers.
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According to the three-factor model, small cap stocks and value stocks have high average returns because they are risky—they have high sensitivity to the risk factors that are being measured by SMB and HML.
In contrast to the risk-based story is the proposition that value stocks have higher returns than growth stocks because markets are not efficient. This position is well represented by Lakonishok, Shleifer and Vishny (1994), who contend that investors naively extrapolate firms' past performance into the future. Value stocks typically have had poor past performance, and investors assume that this poor performance will continue. Then, when some of these poorly performing firms get things turned around, investors are surprised, and the stocks of these firms experience high returns. According to this hypothesis, the high returns to value stocks (and the low returns to growth stocks) are due to investors being systematically wrong about the future. An implication of this is that investors can increase returns without increasing risk, simply by buying value stocks and selling (or not buying) growth stocks. |
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狗仔卡
发表于 2013-6-19 10:18 PM
