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厚尾公司规模下资产定价中的分散化风险

文章 arXiv papers · 作者: Y. Malevergne et al.
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总结

本文为公司市值分布具有足够厚尾的经济体提出一个双因子资产定价模型。除传统市场风险外，模型还纳入分散化风险，并以等权投资组合作为其代理变量。作者认为，即使在大型经济体中，市场投资组合过度集中也会产生影响收益的内部一致性风险。

该框架解释了常由法玛–弗伦奇三因子模型解释的部分收益模式。在这一解释中，规模因子可以作为分散化风险的代理变量，而价值效应则反映价值股对该风险更为敏感。文中称，所提出模型的实证解释力与三因子模型相近，但此处未提供样本细节、估计流程或数值结果。相关主张属于理论性内容，且仅作了概述，因此这段摘录无法证明该解释在不同市场或时期的稳健性。

核心观点

  • 公司市值呈厚尾分布时，即使在大型经济体中，市场投资组合也可能高度集中。
  • 模型在传统市场风险之外增加了分散化风险，并以等权投资组合作为代理变量。
  • 研究提出内部一致性因子，作为这种额外系统性风险的成因。
  • 规模溢价可能是分散化风险的代理变量，而价值股可能对该风险更敏感。
  • 摘录称其解释力与法玛–弗伦奇三因子模型相近，但未提供实证细节。

标签

股票因子投资投资组合构建风险管理
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# A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes


# A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes









In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large economies when the distribution of the capitalization of firms is sufficiently heavy-tailed as is the case of real economies, there may exist a new source of significant systematic risk, which has been totally neglected up to now but must be priced by the market. This new source of risk can readily explain several asset pricing anomalies on the sole basis of the internal-consistency of the market model. For this, we derive a theoretical two-factor model for asset pricing which has empirically a similar explanatory power as the Fama-French three-factor model. In addition to the usual market risk, our model accounts for a diversification risk, proxied by the equally-weighted portfolio, and which results from an ``internal consistency factor'' appearing for arbitrary large economies, as a consequence of the concentration of the market portfolio when the distribution of the capitalization of firms is sufficiently heavy-tailed as in real economies. Our model rationalizes the superior performance of the Fama and French three-factor model in explaining the cross section of stock returns: the size factor constitutes an alternative proxy of the diversification factor while the book-to-market effect is related to the increasing sensitivity of value stocks to this factor.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。