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Anomalies in Security Returns and the Specification of the Market Model
Author(s) -
BROWN STEPHEN J.,
BARRY CHRISTOPHER B.
Publication year - 1984
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1984.tb03673.x
Subject(s) - construct (python library) , econometrics , economics , listing (finance) , systematic risk , excess return , capital asset pricing model , financial economics , computer science , geography , finance , context (archaeology) , archaeology , programming language
We examine the hypothesis originally advanced by Roll [12] that observed anomalies in excess returns can be explained by misspecification of the market model used to estimate systematic risk. We find substantial misspecifications in the model systematically related to size and period of listing of the securities in question. There is some evidence that these misspecifications are associated with systemic biases in measured betas used to construct excess returns.