Naslov (eng)

A common pattern across asset pricing anomalies

Autor

Božović, Miloš

Opis (eng)

Abstract: The Arbitrage Pricing Theory implies that portfolios with small should have large alphas. We show that, as a consequence, the prominent asset pricing anomalies share a common trait: abnormal returns are driven mainly by stocks having smaller and less stable correlations with the market portfolio. Univariate sorts based on five-year rolling-window correlations with the market excess return produce patterns similar to those based on size, value, profitability, investment, price ratios, and earnings and price momenta. A correlation-driven factor that captures this common property makes some of the Fama–French factors redundant in regressions with the univariate sorts.

Opis (eng)

Project: This research was financially supported by the Ministry of Education, Science and Technological Development of the Republic of Serbia . I am thankful to the anonymous reviewers of this manuscript for their valuable comments and suggestions. The usual disclaimer applies.

Jezik

engleski

Datum

2022

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC-ND 4.0 - Creative Commons Autorstvo - Nekomercijalno - Bez prerada 4.0 International License.

http://creativecommons.org/licenses/by-nc-nd/4.0/legalcode

Predmet

Keywords: Asset pricing; Factor models; Risk premia; Fama–French factors; Dynamic correlations

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o:28218

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