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Value versus glamour
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OA
AI
DOI：10.1111/1540-6261.00594.png)
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摘要
En 中文
The fragility of the CAPM has led to a resurgence of research that frequently uses trading strategies based on sorting procedures to uncover relations between firm characteristics (such as value or glamour) and equity returns. We examine the propensity of these strategies to generate statistically and economically significant profits due to our familiarity with the data. Under plausible assumptions, data snooping can account for up to 50 percent of the in-sample relations between firm characteristics and returns uncovered using single (one-way) sorts. The biases can be much larger if we simultaneously condition returns on two (or more) characteristics.
Keyword:
EXPECTED STOCK RETURNS
SIZE-RELATED ANOMALIES
ASSET PRICING-MODELS
BOOK-TO-MARKET
CROSS-SECTION
EMPIRICAL-EVIDENCE
COMMON-STOCKS
RISK
TESTS
EQUILIBRIUM
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期刊
IF:
9.5
论文数:
4.0K
被引数:
5.0W
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