Putting the Price in Asset Pricing
提出一种估计投资组合异常价格的新方法，即价格与按选定模型计算的股息现值之间的百分比差距，并应用于研究CAPM下的价格横截面。
ABSTRACT We propose a novel way to estimate a portfolio's abnormal price , the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time‐series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long‐horizon returns. We apply our techniques to study the cross‐section of price levels relative to the capital asset pricing model (CAPM) and find that a single characteristic, adjusted value , provides a parsimonious model of CAPM‐implied abnormal price.