MANAGEMENT SCIENCE · VOL. 61, NO. 11· NOVEMBER 2015

噪声可以创造规模和价值效应吗？

作者：Robert D. Arnott (Research Affiliates, LLC, Newport Beach, California), Jason C. Hsu (Research Affiliates, LLC, Newport Beach, California and University of California), Jun Liu (University of California and Shanghai Jiao Tong University - Shanghai Advanced Institute of Finance (SAIF)), Harry Markowitz (University of California)

摘要：如果股票的价格与其内在价值之间有随机噪声，那么价值股更有可能产生负噪声；因此它们更可能被低估，并且具有比风险确认的更高的预期收益。同样的规则适用于小规模市值的股票。我们通过使用标准的价格噪声模型来正式地检验和探究这种规则。这种规则不同于布鲁姆和斯坦博研究的詹森不等式效应[Blume ME, Stambaugh RF (1983) Biases in computed returns: An application to the size effect. J. Financial Econom. 12(3):387–404]。我们的模型是简洁的：价值溢价和规模溢价是以封闭形式计算的，它们只取决于四个参数：股票收益的平均值，股票收益的波动性，本利比的波动性和噪声波动性。我们强调，只有适度波动的价格噪声才能产生可观测的价格溢价。然而，这个模型并不能产生可观测的噪声溢价。

关键词：噪声；规模效应；价值效应

Can Noise Create the Size and Value Effects?

Robert D. Arnott (Research Affiliates, LLC, Newport Beach, California), Jason C. Hsu (Research Affiliates, LLC, Newport Beach, California and University of California), Jun Liu (University of California and Shanghai Jiao Tong University - Shanghai Advanced Institute of Finance (SAIF)), Harry Markowitz (University of California)

ABSTRACT

If the price of a stock differs from its intrinsic value by a random noise, then value stocks are more likely to have negative noise; they are thus more likely undervalued and have higher expected return than justified by risk. The same intuition applies to small capitalization stocks. We formally verify and explore this intuition by using a standard noise-in-price model. This intuition is different from the Jensen’s inequality effect studied by Blume and Stambaugh [Blume ME, Stambaugh RF (1983) Biases in computed returns: An application to the size effect. J. Financial Econom. 12(3):387–404]. Our model is parsimonious: the value premium as well as size premium are computed in closed form and depend on only four parameters: mean of stock return, volatility of stock return, volatility of the price-to-dividend ratio, and noise volatility. We emphasize that only a moderate volatility of price noise is needed to generate the observed value premium. However, the model cannot generate the observed size premium.

Keywords: noise; size effect; value effect

原文链接： http://rady.ucsd.edu/faculty/directory/liu/pub/docs/valuesize_rfs.pdf

翻译：景薇