Anomalies in Security Returns and the Specification of the Market Model
检验了Roll提出的假说，即超额收益中的异常现象可能源于估计系统风险时市场模型的错误设定。研究发现模型设定错误与证券的规模和上市时间系统相关，并可能导致用于构建超额收益的贝塔值存在系统性偏差。
ABSTRACT We examine the hypothesis originally advanced by Roll [12] that observed anomalies in excess returns can be explained by misspecification of the market model used to estimate systematic risk. We find substantial misspecifications in the model systematically related to size and period of listing of the securities in question. There is some evidence that these misspecifications are associated with systemic biases in measured betas used to construct excess returns.