Theoretical Explanation of Return Predictability Based on Stock Price Formulation

被引：0
|
作者：
郭磊 [1 ]
吴冲锋 [2 ]
王欣荣 [2 ]
机构：
[1] Henan Office of China Banking Regulatory Commission, Zhengzhou 450003, China,Financial Engineering Center, Shanghai Jiaotong University, Shanghai 200052, China
[2] Financial Engineering Center, Shanghai Jiaotong University, Shanghai 200052, China
来源：
Railway Engineering Science | 2006年 / 01期
关键词：
Return predictability; Value elasticity; Scale bias; Firm-specific bias;
D O I：
暂无
中图分类号：
F224 [经济数学方法];
学科分类号：
0701 ; 070104 ;
摘要：
To find out which factors determine stock return and to give rational explanation of return predictability, according to the principle of stock price formulation, the trend of stock price is obtained by use of option pricing method. The trend of stock price is put into reconstructing CAPM (capital asset pricing model) beta; it is concluded that the firm-specific biases and the scale biases potentially induce return predictability. In addition, through the relation between the biases structure and the intrinsic value, an appropriate theoretic explanation is supplied for three-factor pricing model proposed by Fama and French.
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页码：89 / 93
页数：5
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