A Factor Model of Company Relative Valuation
将套利定价理论应用于公司价值预期收益变换，构建了公司相对估值的因子模型，解释公司价值相对于账面资本的横截面差异，并利用定价残差捕捉错误定价，构建统计套利组合获得低风险高回报。
This paper applies the classic arbitrage pricing theory to an expected return transformation of company value and builds a factor model of company relative valuation. The model explains the cross-sectional variation of company value relative to book capital with a set of valuation factors constructed on a long list of firm characteristic features. A cross-sectional contemporaneous regression identifies the common market pricing of each valuation factor in its contribution to company valuation. The pricing residual captures company misvaluation. A statistical arbitrage portfolio targeting the pricing residual generates highly positive returns with low risk. The market pricing estimate predicts the future return on the corresponding factor portfolio and can be applied to factor timing.