Publicación:
Factorial asset pricing models using statistical anomalies

Vista sencilla de ítem
dc.contributor.authorGonzález Sánchez, Mariano
dc.date.accessioned2024-05-20T11:24:03Z
dc.date.available2024-05-20T11:24:03Z
dc.date.issued2022
dc.description.abstractAlthough up to seven factors market, size, earnings, profitability, investment, momentum, and quality are used to explain asset returns mainly due to anomalies, there is no consensus in the financial literature on the suitability of the factors to include in asset pricing models. Empirical research has found that investors’ responses to market movements up and down are not symmetric. We show a new type of anomaly, statistical anomalies, resulting from decomposing asset returns into three independent time series: positive outliers (the good), negative outliers (the bad), and the remainder or Gaussian returns (the usual). Using a sample consisting of 49 equalweighted US industrial portfolios with daily and monthly frequencies from 1969 to 2020, we find evidence that the good-usual-bad factor model exhibits fewer anomalies, better explanatory power, and greater robustness than the “magnificent seven” factors model. Our results are relevant to investors trading at less than monthly frequencies.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.1016/j.ribaf.2021.101595
dc.identifier.issn0275-5319
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11897
dc.journal.titleResearch in International Business and Finance
dc.journal.volume60
dc.language.isoen
dc.publisherElsevier
dc.relation.centerFacultades y escuelas::Facultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsAtribución-NoComercial-SinDerivadas 4.0 Internacional
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0
dc.subject.keywordsAsset pricing model
dc.subject.keywordsMultifactor model
dc.subject.keywordsOutliers
dc.subject.keywordsAnomalies
dc.subject.keywordsAsymmetrical risk
dc.titleFactorial asset pricing models using statistical anomalieses
dc.typeartículoes
dc.typejournal articleen
dspace.entity.typePublication
person.familyNameGonzález Sánchez
person.givenNameMariano
person.identifier.orcid0000-0002-8255-9478
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
Archivos
Bloque original
Mostrando 1 - 1 de 1
Miniatura
Nombre:
Gonzalez_Sanchez_Mariano_factorial_asset_.pdf
Tamaño:
485.23 KB
Formato:
Adobe Portable Document Format
Descargar
Colecciones
Artículos y papers