JOURNAL OF EMPIRICAL FINANCE，VOL46 ,MARCH 2018

投资和盈利因子VS价值和动量因子：剩余风险的价格

作者：Yuming Li (California State University)

摘要：Barillas和Shanken(2017)指出，如果其他因子的回归截距(α)为零，则交易因子是多余的。本文发现基于协方差的资产定价模型表明α与交易因子的剩余风险成正比。对剩余风险价格的实证分析表明，Hou等人的q因子模型(2015)不仅包括价值和动量因子，还包括了Fama和French(2015)的投资和盈利因子的作用。然而，Fama-French(2015)模型未能涵盖动量因子和q因子模型中的其他因子的作用。动量因子以及Fama-French(2015）或Novy-Marx(2013)模型中的盈利因子并不包含q因子模型中的盈利因子的作用。

关键词：风险价格，交易因子，异常

Investment and Profitability Versus Value and Momentum: the Price of Residual Risk

Yuming Li (California State University)

ABSTRACT

Barillas and Shanken (2017) show that a traded factor is redundant if the intercept (alpha) in the regression of the factor on other factors is zero. I find that covariance-based asset pricing models imply that the alpha is proportional to the residual risk of the traded factor. Empirical estimation of the price of the residual risk suggests that the q-factor model of Hou et al. (2015) subsumes the roles of not only the value and momentum factors but also the investment and profitability factors of Fama and French (2015). However, the Fama–French (2015) model fails to subsume the roles of the momentum factor and the factors in the q-factor model. The momentum factor, along with the profitability factor in the Fama–French (2015) or Novy-Marx (2013) model does not subsume the role of the profitability factor in the q-factor model.

Keywords: Risk Price, Traded Factors, Anomalies

原文链接：

http://www.sciencedirect.com/science/article/pii/S0927539817301196#!

翻译：王秭越