BUSI 4502 Lecture Notes - Lecture 6: Capital Asset Pricing Model, Efficient-Market Hypothesis, General Linear Model
30 Aug 2018
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Document Summary
Recently, equity return regularities has been widely interested by investors and researches. There are theories stating that the anomalies contradict with the capital asset pricing model (capm), efficient. Market hypothesis (emh) and arbitrage pricing theory (apt) model. Previous studies has examined regarding the interrelationships of equity return regularities. However, typically on two or three anomalies are being included, which may result in misleading conclusions. Hence, in this article, the authors innovated previous studies by increasing anomaly measures and to determine if the findings in previous studies remain consistently the same. The sample period is from 1978 until 1986. The authors modeled return regularities linearly and used cross-sectional regression analysis. There are 25 anomaly measures and binary variables are assign to each company based on sic code. (cid:494)survivorship(cid:495) bias and (cid:494)look ahead bias(cid:495) are being controlled by lagging all accounting variables for three months.
