À繫¿¬±¸ Á¦ ±Ç È£ (2017³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.1035~1054
pp.1035~1054
A Proposal About a New Approach to Asset Pricing Theory : Expected Anomaly Model
WOONGKI LEE Business School, Korea University
An integrated economic view of asset pricing models including the pricing kernel model, cross-sectional model, time-series model, and expected anomaly model is presented. Several perspectives on the cross-section of expected anomalies are proposed. Modifications to the expected anomaly model are suggested. Asymptotic adjustments for errors-in-variables biases are discussed. Finally, an earlier concern against using spread portfolios is resolved.
WOONGKI LEE
An integrated economic view of asset pricing models including the pricing kernel model, cross-sectional model, time-series model, and expected anomaly model is presented. Several perspectives on the cross-section of expected anomalies are proposed. Modifications to the expected anomaly model are suggested. Asymptotic adjustments for errors-in-variables biases are discussed. Finally, an earlier concern against using spread portfolios is resolved.
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