Assessing Asset Pricing Anomalies
为检测到资产定价异象但不确信其真实性的投资者开发了最优投资组合策略，并计算了利用该异象投资的价值，以Fama-French的SMB和HML组合为例进行说明。
The optimal portfolio strategy is developed for an investor who has detected an asset pricing anomaly but is not certain that the anomaly is genuine rather than merely apparent. The analysis takes account of the fact that the parameters of both the underlying asset pricing model and the anomalous returns are estimated rather than known. The value that an investor would place on the ability to invest to exploit the apparent anomaly is also derived and illustrative calculations are presented for the Fama and French SMB and HML portfolios, whose returns are anomalous relative to the CAPM. We would like to thank two anonymous referees and seminar participants at the Western Finance Association.