Then CAPM is wanted, dead or alive

Article Abstract:

Kothari, Shanken, and Sloan (1995) claim that betas from annual returns produce a stronger positive relation between beta and average return than betas from monthly returns. They also contend that the relation between average return and book-to-market equity (BE/ME) is seriously exaggerated by survivor bias. We argue that survivor bias does not explain the relation between BE/ME and average return. We also show that annual and monthly betas produce the same inferences about the beta premium. Our main point on the beta premium is, however, more basic. It cannot save the Capital asset pricing model (CAPM), given the evidence that beta alone cannot explain expected return. (Reprinted by permission of the publisher.)

Capital assets pricing model, Capital asset pricing model

---

Business cycles and the behavior of metals prices

Article Abstract:

The theory of storage says that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases. The authors test this hypothesis by examining the relative variation of spot and futures prices for metals. As the hypothesis implies, futures prices are less variable than spot prices when inventory is low, but spot and futures prices have similar variability when inventory is high. The theory of storage also explains inversions of 'normal' futures-spot price relations around business-cycle peaks. Positive demand shocks around peaks reduce metal inventories and, as the theory predicts, generate large convenience yields and price inversions. (Reprinted by permission of the publisher.)

Analysis, Economic research, Metals, Metals (Materials), Inventory control, Commodity futures

---

Multifactor explanations of asset pricing anomalies

Article Abstract:

Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book-to-market equity, past sales growth, long-term past return, and short-term past return. Because these patterns in average returns apparently are not explained by the CAPM, they are called anomalies. We find that, except for the continuation of short-term returns, the anomalies largely disappear in a three-factor model. Our results are consistent with rational ICAPM or APT asset pricing, but we also consider irrational pricing and data problems as possible explanations. (Reprinted by permission of the publisher.)

Assets (Accounting)

Similar abstracts:

• Abstracts: The post-merger performance of acquiring firms: a re-examination of an anomaly. Managerial incentives and corporate investment and financing decisions
• Abstracts: Preparing for an estate tax examination. Transfer pricing tax concerns for global financial companies
• Abstracts: Passive activity regulations create many tests for categorizing income and losses. Active participation in activity can avoid the limitations on passive losses
• Abstracts: The Companies Act 1989: auditing aspects. Share valuation: difficulties and disputes
• Abstracts: Just one will do. Share valuation: difficulties and disputes. Share valuation: hypothesis and reality

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.