Multifactor Explanations of Asset Pricing Anomalies
发现，除短期收益延续外，规模、盈利价格比、现金流价格比、账面市值比等特征导致的股票平均收益异象，在三因子模型中基本消失，结果支持理性资产定价。
ABSTRACT Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book‐to‐market equity, past sales growth, long‐term past return, and short‐term past return. Because these patterns in average returns apparently are not explained by the CAPM, they are called anomalies. We find that, except for the continuation of short‐term returns, the anomalies largely disappear in a three‐factor model. Our results are consistent with rational ICAPM or APT asset pricing, but we also consider irrational pricing and data problems as possible explanations.