Journal of Financial and Quantitative Analysis · Volume 52, Issue 3 June 2017, pp. 927-961

短期利率与股票市场异象

作者：Paulo Maio (University of Washington), Pedro Santa-Clara (University of Washington)

摘要：我们提出了一个简单的两因子模型，该模型有助于解释几个资本资产定价模型（CAPM）异象（价值溢价、收益反转、证券久期、资产增长和存货增长）。 该模型与Merton的跨期CAPM（ICAPM）框架一致，并且关键风险因子是在短期利率，联邦基金利率或短期国库券利率上的创新。这个模型解释了联合市场异象平均回报离差的绝大部分。此外，该模型可以便利地与文献中广泛使用的多因子模型进行比较。因此，短期利率似乎与解释横截面股票风险溢价的几个方面相关。

Short-Term Interest Rates and Stock Market Anomalies

Paulo Maio (University of Washington), Pedro Santa-Clara (University of Washington)

ABSTRACT

We present a simple 2-factor model that helps explain several capital asset pricing model (CAPM) anomalies (value premium, return reversal, equity duration, asset growth, and inventory growth). The model is consistent with Merton’s intertemporal CAPM (ICAPM) framework, and the key risk factor is the innovation on a short-term interest rate, the federal funds rate, or the T-bill rate. This model explains a large fraction of the dispersion in the average returns of the joint market anomalies. Moreover, the model compares favorably with alternative multifactor models widely used in the literature. Hence, short-term interest rates seem to be relevant for explaining several dimensions of cross-sectional equity risk premia.

原文链接：

https://doi.org/10.1017/S002210901700028X

翻译：陈然