Short-Term Interest Rates and Stock Market Anomalies
提出了一个双因子模型，用短期利率（联邦基金利率或国库券利率）的变动来解释价值溢价、收益反转、股权久期、资产增长和存货增长等CAPM异象，该模型优于其他多因子模型。
We present a simple 2-factor model that helps explain several capital asset pricing model (CAPM) anomalies (value premium, return reversal, equity duration, asset growth, and inventory growth). The model is consistent with Merton’s intertemporal CAPM (ICAPM) framework, and the key risk factor is the innovation on a short-term interest rate, the federal funds rate, or the T-bill rate. This model explains a large fraction of the dispersion in the average returns of the joint market anomalies. Moreover, the model compares favorably with alternative multifactor models widely used in the literature. Hence, short-term interest rates seem to be relevant for explaining several dimensions of cross-sectional equity risk premia.