Can An ‘Estimation Factor’ Help Explain Cross‐Sectional Returns?
通过理论模型证明资产预期超额收益不仅与市场组合协方差有关，还与代表性主体估计的变化有关；GMM检验表明在CAPM中加入“估计因子”有助于解释截面收益，且该因子无条件承担负风险溢价。
Abstract: We show in a theoretical model that the expected excess return on any asset depends on its covariance not only with the market portfolio, but also with changes in the representative agent's estimate. We test our model using GMM and compare it to the CAPM. The results suggest that adding an ‘estimation factor’ to the CAPM helps explain cross‐sectional returns and that, unconditionally, this estimation factor carries a negative risk premium.