| Author: | Phalippou, L. |
| Title: | Can risk-based theories explain the value premium? |
| Journal: | Review of finance
2007 : JUN, VOL. 11:2, p. 143-166 |
| Index terms: | finance institutional investors risk rate of return pricing models |
| Language: | eng |
| Abstract: | It is shown in this paper that some of the most prominent risk-based theories offer as explanation for the value premium are at odds with data. The models proposed by Fama and French (1993), Lettau and Ludvingson (2001), Campbell and Vuolteenaho (2004), and Yogo (2006) can capture the cross-section of returns of portfolios ... generating economically large pricing errors in all the institutional ownership quintiles and each statistical test indicating that these pricing errors are significant. The results show that a minor alteration of the test assets can lead to a dramatically different answer as to the validity of a given asset pricing model. |
SCIMA