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Anomalies, February 2005
ZHANG LU 最近一篇比较重要的文章。
Anomalies Lu Zhang February 2005
Abstract
I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events. Under certain conditions, stock return equals investment return, which is directly tied with rm characteristics. This single equation is shown analytically to be qualitatively consistent with many anomalies, including the relations of future stock returns with market-to-book, investment and disinvestment, seasoned equity o erings, tender o ers and stock repurchases, dividend omissions and initiations, expected pro tability, pro tability, and more important, earnings announcement. The Q-framework also provides a new asset pricing test.
MAIN POINT：
The basic point of this paper is reminiscent in spirit of the point made by Kydland and Prescott (1982). The Kydland-Prescott paper says that the neoclassical framework is a good start to build an equilibrium theory of business cycles. Monetary misperceptions and sticky prices from Keynesian economics may be important, but their e ects can be better quanti ed and hence understood using the neoclassical benchmark. Similarly, this paper says that the neoclassical framework is a good start to build an equilibrium theory of the cross-section of returns. Over- and under-reaction from behavioral nance may be important, but their e ects can be better quanti ed and hence understood using the neoclassical benchmark. From this perspective, I view my theoretical work as complementary to behavioral theories of Barberis, Shleifer, and Vishny (1998), Daniel, Hirshleifer, and Subramanyam (1998), and Hong and Stein (1999). In explaining anomalies, these models assume constant expected returns and focus on systematic variations in abnormal returns. By constructing an economic foundation for time-varying expected returns in the cross section, I provide a rational benchmark against which the importance of investor sentiment can be gauged.
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，但是解释的现象却是很贴近现实
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