A Dynamic Model of Characteristic‐Based Return Predictability
构建了一个动态模型，将基于特征的收益可预测性与决定公司基本面演变的系统性因素联系起来，解释了价值、盈利能力和资产增长等特征组合的定价异常，并指出投资者过度自信会导致持续的错误定价。
ABSTRACT We present a dynamic model that links characteristic‐based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy‐wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of systematic risk for portfolios of firms sorted on value, profitability, and asset growth. If investors are overconfident about their ability to evaluate the disruption climate, these characteristic‐sorted portfolios exhibit persistent mispricing. The model generates predictions about the conditional predictability of characteristic‐sorted portfolio returns and illustrates how return persistence increases the likelihood of observing characteristic‐based anomalies.