search query: @freeterm anomalies / total: 7
reference: 7 / 7
« previous | next »
| Author: | Ferson, W. E. Sarkissian, S. Simin, T. |
| Title: | The alpha factor asset pricing model: A parable |
| Journal: | Journal of Financial Markets
1999 : FEB, VOL. 2:1, p. 49-68 |
| Index terms: | Assets Pricing Models |
| Freeterms: | Arbitrage portfolios Anomalies |
| Language: | eng |
| Abstract: | Recent empirical studies use the returns of attribute-sorted portfolios of common stocks as if they represent risk factors in an asset pricing model. If the attributes are chosen following an empirically observed relation to the cross-section of stock returns, such portfolios will appear to be useful risk factors, even when the attributes are completely unrelated to risk. This result is illustrated using parable. It is argued that the moral of the story is important in practice. |
« previous | next »
SCIMA