MANAGEMENT SCIENCE · VOL. 61, NO. 11· NOVEMBER 2015
噪聲可以創造規模和價值效應嗎？
作者：Robert D. Arnott (Research Affiliates, LLC, Newport Beach, California), Jason C. Hsu (Research Affiliates, LLC, Newport Beach, California and University of California), Jun Liu (University of California and Shanghai Jiao Tong University - Shanghai Advanced Institute of Finance (SAIF)), Harry Markowitz (University of California)
摘要：如果股票的價格與其内在價值之間有随機噪聲，那麼價值股更有可能産生負噪聲；因此它們更可能被低估，并且具有比風險确認的更高的預期收益。同樣的規則适用于小規模市值的股票。我們通過使用标準的價格噪聲模型來正式地檢驗和探究這種規則。這種規則不同于布魯姆和斯坦博研究的詹森不等式效應[Blume ME, Stambaugh RF (1983) Biases in computed returns: An application to the size effect. J. Financial Econom. 12(3):387–404]。我們的模型是簡潔的：價值溢價和規模溢價是以封閉形式計算的，它們隻取決于四個參數：股票收益的平均值，股票收益的波動性，本利比的波動性和噪聲波動性。我們強調，隻有适度波動的價格噪聲才能産生可觀測的價格溢價。然而，這個模型并不能産生可觀測的噪聲溢價。
關鍵詞：噪聲；規模效應；價值效應
Can Noise Create the Size and Value Effects?
Robert D. Arnott (Research Affiliates, LLC, Newport Beach, California), Jason C. Hsu (Research Affiliates, LLC, Newport Beach, California and University of California), Jun Liu (University of California and Shanghai Jiao Tong University - Shanghai Advanced Institute of Finance (SAIF)), Harry Markowitz (University of California)
ABSTRACT
If the price of a stock differs from its intrinsic value by a random noise, then value stocks are more likely to have negative noise; they are thus more likely undervalued and have higher expected return than justified by risk. The same intuition applies to small capitalization stocks. We formally verify and explore this intuition by using a standard noise-in-price model. This intuition is different from the Jensen’s inequality effect studied by Blume and Stambaugh [Blume ME, Stambaugh RF (1983) Biases in computed returns: An application to the size effect. J. Financial Econom. 12(3):387–404]. Our model is parsimonious: the value premium as well as size premium are computed in closed form and depend on only four parameters: mean of stock return, volatility of stock return, volatility of the price-to-dividend ratio, and noise volatility. We emphasize that only a moderate volatility of price noise is needed to generate the observed value premium. However, the model cannot generate the observed size premium.
Keywords: noise; size effect; value effect
原文鍊接： http://rady.ucsd.edu/faculty/directory/liu/pub/docs/valuesize_rfs.pdf
翻譯：景薇
