论文标题
跨越股市异常的分析在潜在客户随机优势下
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance
论文作者
论文摘要
我们开发并实施方法来确定引入新证券或放松投资限制是否改善了前景投资者的投资机会。我们根据子采样和线性编程为两个嵌套投资组合的前景制定了一个新的测试程序。在应用程序中，我们使用跨越框架的前景来评估众所周知的异常情况是否由标准因素跨越。我们发现在考虑的策略中，许多人扩大了前景类型投资者的机会集，因此对他们具有真正的经济价值。样本和样本外结果证明在确定前景投资者的真实异常方面非常一致。
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and Linear Programming. In an application, we use the prospect spanning framework to evaluate whether well-known anomalies are spanned by standard factors. We find that of the strategies considered, many expand the opportunity set of the prospect type investors, thus have real economic value for them. In-sample and out-of-sample results prove remarkably consistent in identifying genuine anomalies for prospect investors.
