Review of Financial Studies · VOL30. , NO. 4 · Apirl 2017

错误定价因子

作者：Robert Stambaugh (University of Pennsylvania and NBER)

Yu Yuan (SAIF, Shanghai Jiao Tong University and Wharton Financial Institutions Center)

摘要：本文提出了包含两个“错误定价”因子以及市场和规模因子的四因子模型，比著名的四因子和五因子模型能更好地解释一大部分异象。此外，模型中由规模因子所揭示的小公司溢价幅度是通常模型估计的近两倍。按收益同步变动程度最大的两组平均排名构造的错误定价因子汇聚了11个异象信息。投资者情绪能够预测本文的错误定价因子（特别是空头端），这符合错误定价逻辑，也与做多比做空更容易的事实相一致。本文提出的仅包含一个错误定价因子的三因子模型也表现良好，尤其表现在与贝叶斯模型比较时更加明显。

Mispricing Factors

Robert Stambaugh (University of Pennsylvania and NBER)； Yu Yuan (SAIF, Shanghai Jiao Tong University and Wharton Financial Institutions Center)

ABSTRACT

A four-factor model with two “mispricing” factors, in addition to market and size factors, accommodates a large set of anomalies better than notable four- and five-factor alternative models. Moreover, our size factor reveals a small-firm premium nearly twice usual estimates. The mispricing factors aggregate information across 11 prominent anomalies by averaging rankings within two clusters exhibiting the greatest return comovement. Investor sentiment predicts the mispricing factors, especially their short legs, consistent with a mispricing interpretation and the asymmetry in ease of buying versus shorting. A three-factor model with a single mispricing factor also performs well, especially in Bayesian model comparisons.

原文链接：http://xueshu.baidu.com/s?wd=paperuri%3A%28aeb625a7775c14e905e91e948c24abcb%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fpapers.ssrn.com%2Fsol3%2Fpapers.cfm%3Fabstract_id%3D2953143&ie=utf-8&sc_us=17897943513083038064

翻译：黄涛