IDEAS home Printed from https://ideas.repec.org/p/fam/rpseri/rp10.html
   My bibliography  Save this paper

Assessing Asset Pricing Anomalies

Author

Listed:
  • Michael J. BRENNAN

    (University of California, Los Angeles)

  • Yihong XIA

    (University of Pennsylvania)

Abstract

The optimal portfolio strategy is developed for an investor who has detected an asset pricing anomaly but is not certain that the anomaly is genuine rather than merely apparent. The analysis takes account of the fact that the parametes of both the underlying asset pricing model and the anomalous returns are estimated rather than known. The value that an investor would place on the ability to invest to exploit the apparent anomaly is also derived and illustrative calculations are presented for the Fama-French three factor model, which is anomalous relative to the CAPM.

Suggested Citation

  • Michael J. BRENNAN & Yihong XIA, 1999. "Assessing Asset Pricing Anomalies," FAME Research Paper Series rp10, International Center for Financial Asset Management and Engineering.
  • Handle: RePEc:fam:rpseri:rp10
    as

    Download full text from publisher

    File URL: http://www.swissfinanceinstitute.ch/rp10.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gollier Christian, 2004. "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 4(1), pages 1-35, September.
    2. Guangjie Li, 2011. "The horizon effect of stock return predictability and model uncertainty on portfolio choice: UK evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 21(11), pages 771-787.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fam:rpseri:rp10. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marilyn Barja). General contact details of provider: http://edirc.repec.org/data/fameech.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.