empirical evidence on security returns

《empirical evidence on security returns》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。

1、FinalPDFtoprinterCHAPTERTHIRTEENEmpiricalEvidence13onSecurityReturnsINTHISCHAPTER, weturntothevastliter-informationwillintroducenoisearoundtheaturetestingmodelsofriskandreturn.Thepredictionsofthemodel,butbyitselfthisveryexistenceofsuchavastliteraturesug-shouldnotcause

2、anydifficultythatcannotbegestsaseriousproblemisinvolved—testingovercomewithappropriatestatisticalmeth-thesemodelsisnottrivial.Indeed,animpor-odsandlotsofdata.ButwhentheEMHistantpartoftheworkhereistounderstandoff,eventemporarily,byeconomicallysignifi-thechallengesindoi

3、ngso.cantmargins,changesinpricesandexpectedAllmodelsofcapitalassetpricinghavetworeturnswillnotchangerandomlyandmodelparts.First,theyderivetheoptimalportfo-predictionscanbeaffected.Thisiswhyatestlioofanindividualinvestor,conditionalonofanassetpricingmodelisofnecessitya

4、jointautilityfunction(describinghowaninvestortestoftheEMH.tradesoffriskagainstexpectedreturn)andThesingle-factorCAPMhasonekeyimpli-aninputlistthatincludesestimatesofport-cationthatcanbeexpressedineitheroftwofolioexpectedreturnsandrisk.Second,theyways:Themarketportfoli

5、oismean-variancederivepredictionsaboutexpectedreturnsonefficient,and(equivalently)theriskpremiumcapitalassetsinequilibrium,wheninvestors(expectedexcessreturn)oneachindividualcompletethetradesnecessarytoarriveatassetisproportionaltoitsbeta,E(Ri) 5biE(RM).theirpersonalo

6、ptimalportfolios.Thefirststatementis,inpractice,untestableObviously,theflowofnewinformationbecausewedonotobservethemarketport-alonewillchangeinputlistsandthusdesiredfolio.However,ifabroadindexissufficientlyportfolios.Hereiswheretheefficientmar-welldiversified,evenifno

7、tmean-variancekethypothesis(EMH)kicksin.Ifassetpricesefficient,itmayneverthelesssupportthereflectallavailableinformation,thenchangesmean-betarelationship(theSML)usingtheofassetpricesresultingfromnewinforma-argumentsofthe APT.tionwillhavezeromeans,thatis,priceswillTest

8、ingtheex-antemean-varianceeffi-followrandomwalks.1Theresponsetonewciencyofaparticularmarketindexcannever1Actually,priceswill