Assessing Asset Pricing Anomalies
نویسندگان
چکیده
منابع مشابه
Assessing Asset Pricing Anomalies
The optimal portfolio strategy is developed for an investor who has detected an asset pricing anomaly but is not certain that the anomaly is genuine rather than merely apparent. The analysis takes account of the fact that the parameters of both the underlying asset pricing model and the anomalous returns are estimated rather than known. The value that an investor would place on the ability to i...
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Anomaly is deviation from common rules and in finance it can be defined as a pattern in the average of stock return that is not consistent with the prevailing asset pricing models literature. For anomaly investigation two common methods are used: portfolio approach and individual firm approach. This paper wants to shed light on anomalies of capital asset pricing model at the individual firm lev...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2001
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/14.4.905