Equilibrium “Anomalies”
证明许多所谓的市场异象其实与单贝塔资本资产定价模型一致，只要实证者使用仅含权益的市场组合代理变量；杠杆相关的公司特征变量能解释横截面收益，因为它们捕捉了被低估的贝塔风险。
Abstract Many empirical “anomalies” are actually consistent with the single beta capital asset pricing model if the empiricist utilizes an equity‐only proxy for the true market portfolio. Equity betas estimated against this particular inefficient proxy will be understated, with the error increasing with the firm's leverage. Thus, firm‐specific variables that correlate with leverage (such as book‐to‐market and size) will appear to explain returns after controlling for proxy beta simply because they capture the missing beta risk. Loadings on portfolios formed on relative leverage and relative distress completely subsume the powers of the Fama and French (1993) returns to small minus big market capitalization (SMB) portfolios and returns to high minus low book‐to‐market (HML) portfolios factors in explaining cross‐sectional returns.