Noisy Prices and Inference Regarding Returns
研究了交易价格偏离基本面导致的均值回报估计偏差，提出多种修正方法，并应用于CRSP月度回报数据，发现公司特征相关的回报溢价估计存在显著偏差，如公司规模和股价的偏差可达修正估计的50%以上。
ABSTRACT Temporary deviations of trade prices from fundamental values impart bias to estimates of mean returns to individual securities, to differences in mean returns across portfolios, and to parameters estimated in return regressions. We consider a number of corrections, and show them to be effective under reasonable assumptions. In an application to the Center for Research in Security Prices monthly returns, the corrections indicate significant biases in uncorrected return premium estimates associated with an array of firm characteristics. The bias can be large in economic terms, for example, equal to 50% or more of the corrected estimate for firm size and share price.