Incremental variables and the investment opportunity set

被引：37
|
作者：
Fama, Eugene F. [1 ]
French, Kenneth R. [2 ]
机构：
[1] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA
[2] Dartmouth Coll, Amos Tuck Sch Business, Hanover, NH 03750 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2015年 / 117卷 / 03期
关键词：
Incremental variables; Investment opportunity set; Portfolio returns; Variable attenuation; AVERAGE RETURNS; STOCK RETURNS; EFFICIENCY; MARKET; SIZE; RISK;
D O I：
10.1016/j.jfineco.2015.05.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Variables with strong marginal explanatory power in cross-section asset pricing regressions typically show less power to produce increments to average portfolio returns, for two reasons. (1) Adding an explanatory variable can attenuate the slopes in a regression. (2) Adding a variable with marginal explanatory power always attenuates the values of other explanatory variables in the extremes of a regression's fitted values. Without a restriction on portfolio weights, the maximum Sharpe ratios in the GRS statistic of Gibbons, Ross, and Shanken (1989) provide little information about an incremental variable's impact on the portfolio opportunity set. (C) 2015 Elsevier B.V. All rights reserved.
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页码：470 / 488
页数：19
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