Common-Risk-Factors-in-t教學(xué)講解課件

CommonRiskFactorsintheReturnsonStocksandBondsCommonRiskFactorsintheRet1BriefSaying…ThispaperidentifiesFivecommonriskfactorsinthereturnonstocksandbondsTwostockmarketfactors,twobondmarketfactors,onemarketfactor.ThefivefactorsseemstoexplainallreturnsinstockmarketandbondmarketExcepttheLow-GradeBondsBriefSaying…Thispaperidenti2AgendaIntroductionTheStepsoftheExperimentData&VariablesMainResultConclusionAgendaIntroduction3IntroductionThemarketβsofSharpe-Litner,andBreedon’sconsumptionβsshowlittlerelationoftheCross-SectionalaveragereturnsonU.Scommonstocks.Empiricalvariablesdeterminedaveragereturnsare:Size,Leverage,E/P,BE/ME[Banz(1981),Bhandari(1988),Basu(1983),andRosenberg,Reid,andLanstein(1985)]IntroductionThemarketβsofS4IntroductionIfthemarketisaggregated,theremustbesomecommonfactorswhichcanexplainboththecommonstockmarketandbondmarket.Butforbondmarket,thefactorsusedtoexplaincommonstockmarketmaynotappropriate.So,thenewvariablesareintroducedinthispaperIntroductionIfthemarketisa5TheStepsfortheExperimentChoosetheDatafromDatabaseSortthedataby“Size”and“BE/ME”TestthebondfactorsonmarketexcessreturnTestthemarketfactorsonmarketexcessreturnTestthestockfactorsonmarketexcessreturnTestthestockfactors+marketfactorsonmarketexcessreturnTestallfactorsonmarketexcessreturnTesttheadjustedmarketfactorsonmarketexcessreturnTobecontinued…TheStepsfortheExperimentCh6Data&VariablesDataFrom1963to1991AtleastappearedonCOMPUSTATfortwoyearsStockpriceinDecemberont-1yearandJuneontyearinCRSP,andbookequityinDecemberont-1yearonCOMPUSTATData&VariablesData7Data&VariablesLOWMEDIANHIGHSMALLS/LS/MS/HBIGB/LB/MB/HLowest30%Medium40%Highest30%DividedbyMedianofNYSEBE/MESIZEData&VariablesLOWMEDIANHIGHSM8Data&VariablesInexperiment,thesamplewillseparateinto25portfoliosFirstrankedbysize,thanbyBE/MEData&VariablesInexperiment,9Data&VariablesWhysortingdatabySIZE&BE/MEintothosenumberofgroups?ThetestforthesecriteriaarenotsensitiveinFama&French(1992)Aftergroupingthedata,wecanstarttodefinetheexperimentalvariablesData&VariablesWhysortingda10Data&VariablesNAMEDescriptionRFOne-MonthT-billrateRMAverageofall25PortfoliosmonthlyreturnSMBSmall-Minus-Big=AVG(S/L+S/M+S/H)–AVG(B/L+B/M+B/H),inpercentage,monthly.HMLHigh-Minus-Low=AVG(S/H+B/H)–AVG(S/L+B/L),inpercentage,monthly.TERMLong-Termgovernmentbond–RF,inpercentage,monthly.DEFReturnofmarketportfoliooflong-termcorporatebonds–Long-Termgovernmentbond,inpercentage,monthlyData&VariablesNAMEDescriptio11MainResult–BondMarketFactorMainResult–BondMarketFact12MainResult–BondMarketTestMainResult–BondMarketTest13MainResult–MarketFactorMainResult–MarketFactor14MainResult–MarketFactorMainResult–MarketFactor15MainResult–StockMarketFactorMainResult–StockMarketFac16MainResult–StockMarketFactorMainResult–StockMarketFac17MainResult–AshortbreakEventhoughthemarketfactor,β,seemshaveexplainedmostpartofthevarianceofstockmarket,theresultstillleaveroomtoimprove.But,indeed,itcapturemorecommonvariationforbothmarket.Thebondmarketfactorsworkwellincapturingthecommonvariationofbondmarketandstockmarket.MainResult–AshortbreakEve18MainResult–AshortbreakThestockmarketfactors,usedalone,cannotexplainthevariationofbondswell.Buttheyhavesomeabilitytoexplainthevariationofstockmarket.Howaboutmixthestockmarketfactorswithmarketfactor?MainResult–AshortbreakThe19MainResult–StockMarketFactors+MarketFactorMainResult–StockMarketFac20MainResult–StockMarketFactors+MarketFactorMainResult–StockMarketFac21MainResultAddingthestockmarketfactorsmakesthemarketβmoveclosedto1.That’sprobablybecausetheRM–RfhavesomecorrelationwithHMLandSMB.Whatifallfivefactors?MainResultAddingthestockm22MainResult–AllFactorsMainResult–AllFactors23MainResult–AllFactorsMainResult–AllFactors24MainResult–AllFactorsMainResult–AllFactors25MainResultFivefactorsregressionseemshavethecontradictedresultTheabilityofbondmarketfactorsforcapturingcommonvariationseemslost.Why?Themarketfactormightbethekiller.MainResultFivefactorsregres26AdjustedTestIftherearemultiplefactorsinstockreturns,theyareallinRM.BreakdowntheRMThesumofinterceptandresidualsin(1),calledRMO,istheorthogonalmarketreturn,meansitisuncorrelatedwiththeotherfourfactorsWeuseittore-examtheresulthaveshownAdjustedTestIftherearemult27AdjustedTestAdjustedTest28AdjustedTestAdjustedTest29AdjustedTestAdjustedTest30TestforAvg.PremiumInthispart,wewilltestwhetherthefivefactorscanexplaintheaveragepremiumsonbondandstockmarkets.Ifthefivefactorsaresufficetoexplaintheaveragereturnsinmarket,theinterceptshouldbeindistinguishablefrom0.TestforAvg.PremiumInthisp31TestforAvg.PremiumTestforAvg.Premium32TestforAvg.PremiumTestforAvg.Premium33TestforAvg.PremiumTestforAvg.Premium34TestforAvg.PremiumTheinterceptinregressiononmarketfactorshowstheaveragepremiumisaffectedbySIZEandBE/METhemarketβcannotexplainthisBut,themarketfactorisneededtoexplainwhyaveragereturnsarehigherthenone-monthT-billrateInthreefactorregression,theinterceptisclosedto0,thismeansRM-Rf,HML,SMBcanexplainthemarketreturnwellThisisastrongsupportforThree-FactorModelTestforAvg.PremiumTheinter35TestforAvg.PremiumTheTERMandDEF,havelittleeffectonexplainingtheaveragepremium,althoughtheyseemtoworkswellonexplainingstockreturnwhenusedalone.ThatmaybecausetheaveragereturnforTERMandDEFaresmall,buttheirhighvolatilitycanabsorbthecommonvariationwell.So,theycanexplainthecommonvariationwell,butcannotdoitaswellinaveragepremiumTestforAvg.PremiumTheTERM36TheBondMarketFactorsDothelowpremiumsofTERMandDEFmeanthattheyareirrelevantwithawell-specifiedasset-pricingmodel?Notreally,thetwofactorsareaffectedbybusinesscycle,so,evenifthetwofactorsarelacktoexplaintheaveragepremium,theystillplayaroleinmodel.TheBondMarketFactorsDothe37ConclusionTheRMO,whichisuncorrelatedwiththeotherfourfactors,slopesareallclosedto1on25portfolios,andcanbeviewedasthepremiumforbeingastock.TheslopeforRMOissimilartoRM–Rf,sothefunctionofexplainingthecross-sectionalreturnarelefttoSMBandHMLSlopeforSMB(inTable8)canexplainwhysmallstock’sreturnsaremuchvolatilieConclusionTheRMO,whichisun38ConclusionAsabove,theslopeforHMLcandemonstratethelowestBE/MEportfolioarevolatilethanthehighestBE/MEportfolioBE/MEisnegativecorrelatedwithProfitabilityTheslopeforHMLcanprovethisFivefactorsdoagoodjobonexplainingthewholemarket’sreturnButforevaluatingthecross-sectionalaveragestockreturns,thethree-factormodelwillbeagoodalternativeConclusionAsabove,theslope39Appendix:Table2Appendix:Table240Appendix:Table2Appendix:Table241CommonRiskFactorsintheReturnsonStocksandBondsCommonRiskFactorsintheRet42BriefSaying…ThispaperidentifiesFivecommonriskfactorsinthereturnonstocksandbondsTwostockmarketfactors,twobondmarketfactors,onemarketfactor.ThefivefactorsseemstoexplainallreturnsinstockmarketandbondmarketExcepttheLow-GradeBondsBriefSaying…Thispaperidenti43AgendaIntroductionTheStepsoftheExperimentData&VariablesMainResultConclusionAgendaIntroduction44IntroductionThemarketβsofSharpe-Litner,andBreedon’sconsumptionβsshowlittlerelationoftheCross-SectionalaveragereturnsonU.Scommonstocks.Empiricalvariablesdeterminedaveragereturnsare:Size,Leverage,E/P,BE/ME[Banz(1981),Bhandari(1988),Basu(1983),andRosenberg,Reid,andLanstein(1985)]IntroductionThemarketβsofS45IntroductionIfthemarketisaggregated,theremustbesomecommonfactorswhichcanexplainboththecommonstockmarketandbondmarket.Butforbondmarket,thefactorsusedtoexplaincommonstockmarketmaynotappropriate.So,thenewvariablesareintroducedinthispaperIntroductionIfthemarketisa46TheStepsfortheExperimentChoosetheDatafromDatabaseSortthedataby“Size”and“BE/ME”TestthebondfactorsonmarketexcessreturnTestthemarketfactorsonmarketexcessreturnTestthestockfactorsonmarketexcessreturnTestthestockfactors+marketfactorsonmarketexcessreturnTestallfactorsonmarketexcessreturnTesttheadjustedmarketfactorsonmarketexcessreturnTobecontinued…TheStepsfortheExperimentCh47Data&VariablesDataFrom1963to1991AtleastappearedonCOMPUSTATfortwoyearsStockpriceinDecemberont-1yearandJuneontyearinCRSP,andbookequityinDecemberont-1yearonCOMPUSTATData&VariablesData48Data&VariablesLOWMEDIANHIGHSMALLS/LS/MS/HBIGB/LB/MB/HLowest30%Medium40%Highest30%DividedbyMedianofNYSEBE/MESIZEData&VariablesLOWMEDIANHIGHSM49Data&VariablesInexperiment,thesamplewillseparateinto25portfoliosFirstrankedbysize,thanbyBE/MEData&VariablesInexperiment,50Data&VariablesWhysortingdatabySIZE&BE/MEintothosenumberofgroups?ThetestforthesecriteriaarenotsensitiveinFama&French(1992)Aftergroupingthedata,wecanstarttodefinetheexperimentalvariablesData&VariablesWhysortingda51Data&VariablesNAMEDescriptionRFOne-MonthT-billrateRMAverageofall25PortfoliosmonthlyreturnSMBSmall-Minus-Big=AVG(S/L+S/M+S/H)–AVG(B/L+B/M+B/H),inpercentage,monthly.HMLHigh-Minus-Low=AVG(S/H+B/H)–AVG(S/L+B/L),inpercentage,monthly.TERMLong-Termgovernmentbond–RF,inpercentage,monthly.DEFReturnofmarketportfoliooflong-termcorporatebonds–Long-Termgovernmentbond,inpercentage,monthlyData&VariablesNAMEDescriptio52MainResult–BondMarketFactorMainResult–BondMarketFact53MainResult–BondMarketTestMainResult–BondMarketTest54MainResult–MarketFactorMainResult–MarketFactor55MainResult–MarketFactorMainResult–MarketFactor56MainResult–StockMarketFactorMainResult–StockMarketFac57MainResult–StockMarketFactorMainResult–StockMarketFac58MainResult–AshortbreakEventhoughthemarketfactor,β,seemshaveexplainedmostpartofthevarianceofstockmarket,theresultstillleaveroomtoimprove.But,indeed,itcapturemorecommonvariationforbothmarket.Thebondmarketfactorsworkwellincapturingthecommonvariationofbondmarketandstockmarket.MainResult–AshortbreakEve59MainResult–AshortbreakThestockmarketfactors,usedalone,cannotexplainthevariationofbondswell.Buttheyhavesomeabilitytoexplainthevariationofstockmarket.Howaboutmixthestockmarketfactorswithmarketfactor?MainResult–AshortbreakThe60MainResult–StockMarketFactors+MarketFactorMainResult–StockMarketFac61MainResult–StockMarketFactors+MarketFactorMainResult–StockMarketFac62MainResultAddingthestockmarketfactorsmakesthemarketβmoveclosedto1.That’sprobablybecausetheRM–RfhavesomecorrelationwithHMLandSMB.Whatifallfivefactors?MainResultAddingthestockm63MainResult–AllFactorsMainResult–AllFactors64MainResult–AllFactorsMainResult–AllFactors65MainResult–AllFactorsMainResult–AllFactors66MainResultFivefactorsregressionseemshavethecontradictedresultTheabilityofbondmarketfactorsforcapturingcommonvariationseemslost.Why?Themarketfactormightbethekiller.MainResultFivefactorsregres67AdjustedTestIftherearemultiplefactorsinstockreturns,theyareallinRM.BreakdowntheRMThesumofinterceptandresidualsin(1),calledRMO,istheorthogonalmarketreturn,meansitisuncorrelatedwiththeotherfourfactorsWeuseittore-examtheresulthaveshownAdjustedTestIftherearemult68AdjustedTestAdjustedTest69AdjustedTestAdjustedTest70AdjustedTestAdjustedTest71TestforAvg.PremiumInthispart,wewilltestwhetherthefivefactorscanexplaintheaveragepremiumsonbondandstockmarkets.Ifthefivefactorsaresufficetoexplaintheaveragereturnsinmarket,theinterceptshouldbeindistinguishablefrom0.TestforAvg.PremiumInthisp72TestforAvg.PremiumTestforAvg.Premium73TestforAvg.PremiumTestforAvg.Premium74TestforAvg.PremiumTestforAvg.Premium75TestforAvg.PremiumTheinterceptinregressiononmarketfactorshowstheaveragepremiumisaffectedbySIZEandBE/METhemarketβcannotexplainthisBut,themarketfactorisneededtoexplainwhyaveragereturnsarehigherthenone-monthT-billrateInthreefactorregression,theinterceptisclosedto0,thismeansRM-Rf,HML,SMBcanexplainthemarketreturnwellThisisastrongsupportforThree-FactorModelTestforAvg.PremiumTheinter76TestforAvg.PremiumTheTERMandDEF,havelittleeffectonexplainingtheaveragepremium,althoughtheyseemtoworkswe