Asset Pricing Models and Financial Market Anomalies
构建了一个框架，检验资产定价模型能否解释规模、价值和动量异象。当贝塔允许随公司特征和宏观变量变化时，模型常能解释规模和市值账面比效应，但过去收益的预测力依然稳健。
This article develops a framework that applies to single securities to test whether asset pricing models can explain the size, value, and momentum anomalies. Stock level beta is allowed to vary with firm-level size and book-to-market as well as with macroeconomic variables. With constant beta, none of the models examined capture any of the market anomalies. When beta is allowed to vary, the size and value effects are often explained, but the explanatory power of past return remains robust. The past return effect is captured by model mispricing that varies with macroeconomic variables. Copyright 2006, Oxford University Press.