The Price Is (Almost) Right
从买入持有投资者的角度，用现金流贝塔解释个股相对价格水平的差异，发现某些设定下价格差异能被基本贝塔大幅解释，对检验市场效率有参考价值。
ABSTRACT Most previous research tests market efficiency using average abnormal trading profits on dynamic trading strategies, and typically rejects the joint hypothesis of market efficiency and an asset pricing model. In contrast, we adopt the perspective of a buy‐and‐hold investor and examine stock price levels. For such an investor, the price level is more relevant than the short‐horizon expected return, and betas of cash flow fundamentals are more important than high‐frequency stock return betas. Our cross‐sectional tests suggest that there exist specifications in which differences in relative price levels of individual stocks can be largely explained by their fundamental betas.