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A MULTI-DYNAMIC-FACTOR MODEL FOR STOCK RETURNS
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DOI：10.1016/0304-4076(92)90072-Y.png)
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In this paper, we define dynamic and static factors and distinguish between the dynamic and static structure of asset excess returns. We examine the value-weighted market portfolio as a dynamic factor and propose an intuitively appealing procedure to search for more dynamic factors. We find evidence that the market is a dynamic factor but a three-dynamic-factor model is superior in modelling the decile portfolios. The two additional factors are correlated with a January dummy and Bond risk premium and with production growth and a recession dummy, respectively. We found that small firms are more sensitive to the January/Bond risk factor, while large firms are more sensitive to the Production/Recession factor. We found that after accounting for the systematic risk corresponding to the three dynamic factors, there is not much of a static component of asset risk premium and there is no evidence for a higher 'unexplained' return on small firm portfolios.
Keyword:
ASSET PRICING MODEL
STOCHASTIC CONSUMPTION
TERM STRUCTURE
RISK
ARBITRAGE
VARIANCE
MARKETS
TESTS
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4
论文数:
5.2K
被引数:
3.0W
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