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首页> 外文会议>2007 China International Conference in Finance >Does Noise Create the Size and Value Effects?
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Does Noise Create the Size and Value Effects?

机译：噪声会产生大小和价值影响吗？

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Standard asset pricing models do not generate the cross-sectional variation in expected returns documented in Fama and French (1992). In this paper, we show that noise, a random difference between the price and value, can create signifieant cross-sectional variations in both unconditional and conditional expected returns. For example, the unconditional expected return depends on idiosyncratic volatility, the volatility and the mean reversion coeffient of the price noise and price-dividend ratio, in addition to beta. More importantly, we show that the cross-sectional variation in expected returns conditional on price and price-ratios can be generated by realizations of the price noise and thus exists even in the absence of the parameter variations. We show that stocks with lower prices or lower price ratios have higher expected returns. These higher expected returns are not compensation for risk but are generated because a stock with a low price or a price-ratio is more likely to have a negative price noise thus to be undervalued. Our model captures the basic intuition that value stocks are, in fact, bargains on average. Fama and French (1992) use the matrix of expected returns conditional on size- value deciles as a forceful and informative demonstration of size and value effects. This matrix can be computed in closed form using our model and, for plausible parameters, is similar to its empirical counterpart (Table V of Fama and French). In our model, small and value stocks have slightly higher betas and positive alphas. Our study suggests that noise creates the size and value effect.
机译：标准资产定价模型不会在Fama和French（1992）中记录的预期收益中产生横截面变化。在本文中，我们表明，价格和价格之间的随机差值噪声会在无条件和有条件的预期收益中产生明显的横截面变化。例如，无条件的预期收益还取决于特质波动性，价格噪声的波动性和平均回归系数以及价格和股息比率，以及beta。更重要的是，我们表明，通过价格噪声的实现可以产生以价格和价格比率为条件的期望收益的横截面变化，即使在没有参数变化的情况下也存在该变化。我们显示价格较低或价格比率较低的股票具有较高的预期收益。这些较高的预期收益并不是对风险的补偿，而是由于价格低或价格比率高的股票更有可能产生负面的价格噪音从而被低估而产生的。我们的模型抓住了基本直觉，即价值股票实际上是平均价。 Fama和French（1992）使用以规模-价值决定为条件的期望收益矩阵作为规模和价值效应的有力和有益的证明。可以使用我们的模型以封闭形式计算该矩阵，并且对于合理的参数，该矩阵类似于其经验对应项（Fama和French的表V）。在我们的模型中，小型和价值型股票的Beta和Alpha值略高。我们的研究表明，噪声会产生规模和价值效应。

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