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Failure of Asset Pricing Models: Transaction Cost, Irrationality, or Missing Factors

机译：资产定价模型失败：交易成本，非理性或缺失因素

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摘要

The reason for the failure of asset pricing models can be divided into several: Transaction costs, investors' irrationality, or missing risk factors. The objective of this paper is to find which of these candidates is the most important reason for the failure. To accomplish this object, we investigate the relation between explanatory power of various asset pricing models and variables related to the failure of asset pricing models. First, we find that both transaction costs and investors' irrationality have statistically significant relation with the difference of realized return from expected return reported by the CAPM even after size and book-to-market are included in the Fama-Macbeth regression. Second, we implement the same testing procedure of the CAPM to the Fama and French three factor model and the Carhart four factor model. The results of regressions are all similar to the CAPM's. If a missing risk factor is the main reason for the failure of the CAPM, and the three factor model at least improves the CAPM, we should observe a different pattern of regression coefficients. However, all Wald statistics cannot reject the null hypothesis that the regression coefficients of asset pricing models are the same. Therefore, we argue that poor performance of the asset pricing models is resulted from both transaction costs and investors' irrationality, rather than missing factors.
机译：资产定价模型失败的原因可分为几个：交易成本，投资者的非理性或缺失的风险因素。本文的目的是找到哪些候选人是失败最重要的原因。为实现此目的，我们调查各种资产定价模型和与资产定价模型失败相关的各种资产定价模型和变量之间的关系。首先，我们发现交易成本和投资者的非理性，即使在FAMA-MACBETH回归之后，也与CAPM报告的预期回报的实现差异有统计学意义。其次，我们对FAMA和法语三因素模型和Carhart四因素模型实现了与FACM的相同测试程序。回归结果与CAPM相似。如果缺失的风险因素是CAPM失败的主要原因，而且三个因子模型至少改善了CAPM，我们应该观察到不同的回归系数模式。但是，所有沃尔德统计都不能拒绝零假设，即资产定价模型的回归系数是相同的。因此，我们认为资产定价模型的表现不佳是由于交易成本和投资者的非理性，而不是缺失因素导致。

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