Cross-Holdings: Estimation Issues, Biases, and Distortions
分析上市公司交叉持股如何扭曲市值和收益率指标，以及这对资产定价理论的计量检验、有效前沿估计和因子结构的影响，帮助研究者理解交叉持股带来的偏差。
Cross-bolding occurs when listed corporations own securities issued by other corporations. We analyze the effect of cross-holdings on market capitalization and return measures as well as implications for econometric testing of asset pricing theories. We show that cross-holdings generally distort standard market return and risk measures. The magnitudes of such distortions are calculated for simulated economies by using a variety of cross-holding patterns. In addition, cross-holdings are shown to induce nonstationarity in the covariance matrix of security returns. We examine the effect of this nonstationarity for estimating efficient frontiers and factor structures. We also discuss the implications for risk-return estimates in equilibrium asset pricing models.