The Journal of Portfolio Management, Vol. 44, Issue 7, Summer 2018

规模效应的事实与虚幻

作者：Ron Alquist(AQR Capital Management ,LLC)

Ronen Israel(AQR Capital Management, LLC)

Tobias J. Moskowitz (Yale University, Yale SOM; AQR Capital; NBER)

摘要：在金融学实证研究早期，规模效应是第一个挑战标准资产定价模型，并引发市场效率争论的市场异象。即使在风险调整之后，小市值股票的平均回报率仍然高于高市值股票，这一开创性的发现几十年以来一直被视为金融市场不可动摇的事实。在实践中，规模效应的发现推动了一大批小市值股票指数和主动型基金的涌现，以至于投资被划分为大市值和小市值股票市场。尽管规模效应在学术界有悠久而辉煌的历史，在实践中也得到普遍认可，但仍然存在一些困惑和争论。我们研究了许多关于规模效应的说法，旨在使用公开数据进行样本测试来澄清对它的误解。例如，使用90多年的美国数据，没有证据表明存在纯粹的规模效应；此外，如果不是因为数据错误和风险、流动性调整不充分，规模效应可能根本不存在。

Fact, Fiction, and the Size Effect

Ron Alquist(AQR Capital Management ,LLC)，Ronen Israel(AQR Capital Management, LLC)，Tobias J. Moskowitz (Yale University, Yale SOM; AQR Capital; NBER)

ABSTRACT

In the earliest days of empirical work in academic finance, the size effect was the first market anomaly to challenge the standard asset pricing model and prompt debates about market efficiency. The notion that small stocks have higher average returns than large stocks, even after risk-adjustment, was a path-breaking discovery, one that for decades has been taken as an unwavering fact of financial markets. In practice, the discovery of the size effect fueled a crowd of small cap indices and active funds to a point where the investment landscape is now segmented into large and small stock universes. Despite its long and illustrious history in academia and its commonplace acceptance in practice, there is still confusion and debate about the size effect. We examine many claims about the size effect and aim to clarify some of the misunderstanding surrounding it by performing simple tests using publicly available data. For one, using 90+ years of U.S. data, there is no evidence of a pure size effect; moreover, it may not have existed in the first place, if not for data errors and insufficient adjustments for risk and liquidity.

原文链接：

http://jpm.iijournals.com/content/early/2018/10/05/jpm.2018.1.082

翻译：吕越