Robert C. Merton (97年ROBEL经济学奖得主)
Eugene F. Fama (金融经济学大师)
Kenneth R. French,(Fama-French模型的设计者之一)
。。。
其中Eugene F. Fama/Kenneth R. French回答了一些投资问题。
Q:Do Low-Volatility Strategies Produce High Returns?
A:It is just that, an argument. We have known since the '70s that the relation between beta and average return is much flatter than predicted by the CAPM. Their measure of total volatility is highly correlated with beta. They give a behavioral story, but other stories are consistent with their results. In any case, the CAPM has other more serious problems, and we think a multifactor model is necessary to capture, for example, the value premium in average returns, which shows little relation to beta.
Q:Is the time frame similar for the size and value premiums?
A:The volatility of month-by-month size and value premiums is similar to that of the equity premium, and it takes similarly long periods of time to be reasonably confident of achieving positive premiums.
Q:What is the best way to describe the distribution of stock returns—a normal distribution, lognormal, or something else? What should investors do with this information?
A:Distributions of daily and monthly stock returns are rather symmetric about their means, but the tails are fatter (i.e., there are more outliers) than would be expected with normal distributions. (This topic takes up half of Gene's 1964 PhD thesis.) In the old literature on this issue, the popular alternatives to the normal distributions were non-normal symmetric stable distributions (which are fat-tailed relative to the normal) and t-distributions with low degrees of freedom (which are also fat-tailed). The message for investors is: expect extreme returns, negative as well as positive.