Review of Financial Studies · VOL30. NO. 12 · December 2017

提供有关美国平均每月股票回报的独立信息的特征

作者：Jeremiah Green（Pennsylvania State University）

John Hand（UNC-Chapel Hill）

Frank Zhang（Yale University）

摘要：我们采用Cochrane(2011)的方法来确定公司特征，这些特征提供了美国每月股票回报的独立信息，同时通过加入94个特征来进行Fama-Macbeth回归，避免过度加权微盘股，并对数据探测偏差进行调整。我们发现，尽管从1980年到2014年，12个特征在非微盘股中是可靠的独立决定因素，但在2003年回归可预测性急剧下降，并且从那时起变得只有两个特征是独立的决定因素。在微盘股之外，从2003年开始，以基于特征的可预测性为目标的对冲回报率的表现也与零显著不同。

The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns

Jeremiah Green（Pennsylvania State University）；John Hand（UNC-Chapel Hill）；Frank Zhang（Yale University）

ABSTRACT

We take up Cochrane’s (2011) challenge to identify the firm characteristics that provide independent information about average U.S. monthly stock returns by simultaneously including 94 characteristics in Fama-MacBeth regressions that avoid overweighting microcaps and adjust for data-snooping bias. We find that while 12 characteristics are reliably independent determinants in non-microcap stocks from 1980 to 2014 as a whole, return predictability sharply fell in 2003 such that just two characteristics have been independent determinants since then. Outside of microcaps, the hedge returns to exploiting characteristics-based predictability also have been insignificantly different from zero since 2003.

原文链接：https://academic.oup.com/rfs/article-abstract/30/12/4389/3091648?redirectedFrom=fulltext

翻译：黄涛