REVIEW OF FINANCIAL STUDIES·DOI: https://doi.org/10.1093/rfs/hhx019·Published: 27 March 2017

那些提供美国股票月平均收益独立信息的特征

作者：Jeremiah Green (Pennsylvania State University), John R. M. Hand (UNC-Chapel Hill), X. Frank Zhang (Yale University)

摘要：我们考虑Cochrane（2011）的挑战，通过同时在Fama-MacBeth回归中包含94个特征以避免过度地看重微型股票并调整数据窥探偏差，以识别那些提供有关美国股票月平均收益独立信息的特征。我们发现，虽然有12个特征是1980年到2014年间非微型股票的可靠独立决定因素，但2003年的回报可预测性急剧下降，然后从那时起只有两个特征是独立的决定因素。除了微型股票，利用基于公司特征的预测力而进行的套利回报从2003年起也在统计上与零没有显著区别。

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

Jeremiah Green (Pennsylvania State University), John R. M. Hand (UNC-Chapel Hill), X. 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/doi/10.1093/rfs/hhx019/3091648/The-Characteristics-that-Provide-Independent?redirectedFrom=fulltext

翻译：何杉