The Cost of Capital of the Financial Sector
The Cost of Capital of the Financial Sector
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DOI：
10.2139/ssrn.2706614
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发表时间：
2015-12
期刊：
影响因子：
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通讯作者：
T. Adrian;Evan Friedman;Tyler Muir
中科院分区：
文献类型：
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作者：
T. Adrian;Evan Friedman;Tyler Muir
标准的因素定价模型不能很好地捕捉金融股票平均回报的常见时间序列或横截面变化。我们提出了一个五因素资产定价模型，补充了标准的法马和法国（1993年）的三因素模型与金融部门的净资产收益率（FROE）和金融部门之间的利差和市场回报（SPREAD）。与法马和French（2014）的五因素模型或Hou，Xue，and Zhang（2014）的四因素模型相比，该五因素模型有助于缓解金融部门股票的定价异常，并且对于非金融部门股票也表现良好。我们发现，金融部门股票的总预期收益率与金融部门总ROE呈负相关，这是令人困惑的，因为ROE通常被用作衡量金融部门资本成本的指标。
Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor (FROE) and the spread between the financial sector and the market return (SPREAD). This five-factor model helps to alleviate the pricing anomalies for financial sector stocks and also performs well for nonfinancial sector stocks compared with the Fama and French (2014) five-factor model or the Hou, Xue, and Zhang (2014) four-factor models. We find that the aggregate expected return to financial sector equities correlates negatively with aggregate financial sector ROE, which is puzzling, as ROE is commonly used as a measure of the cost of capital in the financial sector.