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A Dynamic Model of Characteristic-Based Return Predictability
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DOI：10.1111/jofi.12839.png)
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摘要
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We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of systematic risk for portfolios of firms sorted on value, profitability, and asset growth. If investors are overconfident about their ability to evaluate the disruption climate, these characteristic-sorted portfolios exhibit persistent mispricing. The model generates predictions about the conditional predictability of characteristic-sorted portfolio returns and illustrates how return persistence increases the likelihood of observing characteristic-based anomalies.
Keyword:
CROSS-SECTION
EXCESS VOLATILITY
MOMENTUM
MARKET
STOCKS
AUTOCORRELATION
OVERCONFIDENCE
INVESTMENT
GROWTH
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9.5
论文数:
4.0K
被引数:
5.0W
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JOURNAL OF FINANCE
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JOURNAL OF FINANCEIF9.5
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