Testing Factor-Model Explanations of Market Anomalies
Testing Factor-Model Explanations of Market Anomalies
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DOI：
10.1561/104.00000003
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发表时间：
2012-01-01
影响因子：
1.6
通讯作者：
Titman, Sheridan
中科院分区：
文献类型：
--
作者：
Daniel, Kent;Titman, Sheridan
最近的一组论文试图解释规模和账面市值异常与条件资本资产定价模型或CCAPM模型与经济动机的条件变量，或与因素模型与经济动机的因素。这些模型的测试，如所呈现的，未能拒绝所提出的模型。我们认为，这些测试未能拒绝零假设，因为他们有非常低的统计功率对我们所说的特性替代。具体来说，这些测试的低功率出现，因为他们使用的测试组合，特征排序的投资组合，没有足够的独立变化的因素负载和特征。我们提出了几种方法来构建更合适的测试组合和设计更强大的测试。我们表明，这些更强大的测试，我们检查的模型被拒绝在高水平的统计显著性。
A set of recent papers attempts to explain the size and book-to-market anomalies with conditional CAPM or CCAPM models with economically motivated conditioning variables, or with factor models with economically motivated factors. The tests of these models, as presented, fail to reject the proposed model. We argue that these tests fail to reject the null hypothesis because they have very low statistical power against what we call the characteristics alternative. Specifically, the low power of these tests arises because they use as test portfolios, characteristic-sorted portfolios that do not have sufficient independent variation in the factor loadings and the characteristics. We propose several methods for constructing more appropriate test portfolios and for designing more powerful tests. We show that with these more powerful tests the models we examine are rejected at high levels of statistical significance.