Agency‐Based Asset Pricing and the Beta Anomaly
研究了委托投资组合管理如何导致CAPM贝塔与预期股票收益之间的均衡关系变平，并提出了一个包含代理效应的三因子模型，该模型在解释贝塔或波动率排序的投资组合表现上优于Fama-French三因子模型。
Abstract I argue that delegated portfolio management can cause the equilibrium relation between CAPM beta and expected stock returns to become flat, instead of linearly positive, and propose an alternative to the widely used Fama and French (1993) 3‐factor asset pricing model which incorporates this agency effect. An empirical comparison of the two models shows that the agency‐based 3‐factor model is much better at explaining the performance of portfolios sorted on beta or volatility, and at least as good at explaining the performance of various other test portfolios, including those the original 3‐factor model was designed to explain.