| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14417 |
| DP14417 Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models | |
| Carlo A. Favero; Alessandro Melone | |
| 发表日期 | 2020-02-17 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Standard factor-portfolio models focus on returns and leave prices undetermined. This approach ignores information contained in the time-series of asset prices, relevant for long-term investors and for detecting potential mis-pricing. To address this issue, we provide a new (co-)integrated methodology to factor modeling based on both prices and returns. Given a long-run relationship between the value of buy-and-hold portfolios in test assets and factors, we argue that a term---naturally labeled as Equilibrium Correction Term (ECT)---should be included when regressing returns on factors. We also propose to validate factor models by the existence of such a term. Empirically, we show that the ECT predicts equity returns, both in-sample and out-of-sample. |
| 主题 | Financial Economics |
| 关键词 | Return predictability Mispricing Equilibrium correction term Dynamic factor-portfolio models |
| URL | https://cepr.org/publications/dp14417 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543311 |
| 推荐引用方式 GB/T 7714 | Carlo A. Favero,Alessandro Melone. DP14417 Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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