The investment manifesto
نویسندگان
چکیده
A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor ‘‘rationality,’’ the relation must be ‘‘explained’’ by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are not necessarily risk factors; characteristics-based factor models are linear approximations of firm-level investment returns. The evidence that characteristics dominate covariances in horse races does not necessarily mean mispricing; measurement errors in covariances are likely to blame. Most important, risks do not ‘‘determine’’ expected returns; the investment approach is no more and no less ‘‘causal’’ than the consumption approach in ‘‘explaining’’ anomalies. & 2013 Elsevier B.V. All rights reserved.
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تاریخ انتشار 2013