Do industries matter in explaining stock returns and asset-pricing anomalies?

Pin Huang Chou, Po Hsin Ho, Kuan Cheng Ko

研究成果: 雜誌貢獻期刊論文同行評審

45 引文 斯高帕斯(Scopus)

摘要

Industry returns cannot be explained fully by well-known asset pricing models. This study reveals that common factors extracted from industry returns carry significant risk premiums that go beyond the explanatory power of size, book-to-market (BM) ratios, and momentum. In particular, this study shows that (1) the small-firm effect is significant only for firms whose market capitalization is below their industry average; (2) the BM effect is an intra-industry phenomenon; (3) a one-year momentum effect is significant only for firms whose BM ratio is smaller than the industry average and limited to non-January months; and (4) there is seasonality in all effects that cannot be explained by risk-based asset-pricing models. Neither rational nor behavioral theories alone can explain industry returns, and it is perhaps too hasty to attribute asset pricing anomalies to a single driving force.

原文???core.languages.en_GB???
頁(從 - 到)355-370
頁數16
期刊Journal of Banking and Finance
36
發行號2
DOIs
出版狀態已出版 - 2月 2012

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