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《empirical evidence on security returns》由會員上傳分享，免費在線閱讀，更多相關內(nèi)容在工程資料-天天文庫。
1、FinalPDFtoprinterCHAPTERTHIRTEENEmpiricalEvidence13onSecurityReturnsINTHISCHAPTER,?weturntothevastliter-informationwillintroducenoisearoundtheaturetestingmodelsofriskandreturn.Thepredictionsofthemodel,butbyitselfthisveryexistenceofsuchavastliteraturesug-shouldnotcause
2、anydifficultythatcannotbegestsaseriousproblemisinvolved—testingovercomewithappropriatestatisticalmeth-thesemodelsisnottrivial.Indeed,animpor-odsandlotsofdata.ButwhentheEMHistantpartoftheworkhereistounderstandoff,eventemporarily,byeconomicallysignifi-thechallengesindoi
3、ngso.cantmargins,changesinpricesandexpectedAllmodelsofcapitalassetpricinghavetworeturnswillnotchangerandomlyandmodelparts.First,theyderivetheoptimalportfo-predictionscanbeaffected.Thisiswhyatestlioofanindividualinvestor,conditionalonofanassetpricingmodelisofnecessitya
4、jointautilityfunction(describinghowaninvestortestoftheEMH.tradesoffriskagainstexpectedreturn)andThesingle-factorCAPMhasonekeyimpli-aninputlistthatincludesestimatesofport-cationthatcanbeexpressedineitheroftwofolioexpectedreturnsandrisk.Second,theyways:Themarketportfoli
5、oismean-variancederivepredictionsaboutexpectedreturnsonefficient,and(equivalently)theriskpremiumcapitalassetsinequilibrium,wheninvestors(expectedexcessreturn)oneachindividualcompletethetradesnecessarytoarriveatassetisproportionaltoitsbeta,E(Ri)?5biE(RM).theirpersonalo
6、ptimalportfolios.Thefirststatementis,inpractice,untestableObviously,theflowofnewinformationbecausewedonotobservethemarketport-alonewillchangeinputlistsandthusdesiredfolio.However,ifabroadindexissufficientlyportfolios.Hereiswheretheefficientmar-welldiversified,evenifno
7、tmean-variancekethypothesis(EMH)kicksin.Ifassetpricesefficient,itmayneverthelesssupportthereflectallavailableinformation,thenchangesmean-betarelationship(theSML)usingtheofassetpricesresultingfromnewinforma-argumentsofthe?APT.tionwillhavezeromeans,thatis,priceswillTest
8、ingtheex-antemean-varianceeffi-followrandomwalks.1Theresponsetonewciencyofaparticularmarketindexcannever1Actually,priceswill
