À繫¿¬±¸ Á¦ ±Ç È£ (2010³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.2117~2139
pp.2117~2139
Does the Chen and Zhang Model Capture the Time-varying Patterns in Stock Returns?
Hankil Kang KAIST Business School
Jangkoo Kang KAIST Business School
Changjun Lee KAIST Business School
Given its striking empirical performance, we examine whether the Chen and Zhang (2010) model explains the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test portfolios, we find that fitted conditional expected return (fit) is always statistically significant in the presence of the Chen-Zhang factors. Moreover, when the fit is included in the analysis, the magnitude of the Chen-Zhang factors is consistently smaller and the fit drives out the significance of the Chen-Zhang factors. Our empirical results cast some doubt on the validity of Chen-Zhang model as a conditional benchmark for risk adjustment.
Hankil Kang
Jangkoo Kang
Changjun Lee
Given its striking empirical performance, we examine whether the Chen and Zhang (2010) model explains the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test portfolios, we find that fitted conditional expected return (fit) is always statistically significant in the presence of the Chen-Zhang factors. Moreover, when the fit is included in the analysis, the magnitude of the Chen-Zhang factors is consistently smaller and the fit drives out the significance of the Chen-Zhang factors. Our empirical results cast some doubt on the validity of Chen-Zhang model as a conditional benchmark for risk adjustment.
Chen and Zhang three-factor model,conditional asset pricing model,expected return
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