Multifactor Explanations of Asset Pricing Anomalies
发现，除短期收益延续外，规模、盈利价格比等公司特征带来的平均收益差异在加入规模和价值因子的三因素模型中基本消失，支持理性定价模型。
Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cashflow/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.