Our result,thatinvestorsappeartobeusingtheCAPMto
make theirinvestmentdecisions,isverysurprisinginlight
of thewelldocumentedfailureoftheCAPMtoadequately
explainthecross-sectionalvariationinexpectedstock
returns.Although,ultimately,weleavethisasapuzzletobe
explainedbyfutureresearch,wedonotethatthepoor
performance ofthereducedformfactormodelsrelativeto
the CAPMimpliesthatinvestorsdonotusetheadditional
factorsinthosemodelstomeasurerisk.Muchofthe flows
in andoutofmutualfundsremainunexplained.Tothatend
the paperleavesasanunansweredquestionwhetherthe
unexplainedpartof flowsresultsbecauseinvestorsusea
superior,yetundiscovered,riskmodel,orwhetherinvestors
use other,non-risk-based,criteriatomakeinvestment
decisions.
Our result,thatinvestorsappeartobeusingtheCAPMtomake theirinvestmentdecisions,isverysurprisinginlightof thewelldocumentedfailureoftheCAPMtoadequatelyexplainthecross-sectionalvariationinexpectedstockreturns.Although,ultimately,weleavethisasapuzzletobeexplainedbyfutureresearch,wedonotethatthepoorperformance ofthereducedformfactormodelsrelativetothe CAPMimpliesthatinvestorsdonotusetheadditionalfactorsinthosemodelstomeasurerisk.Muchofthe flowsin andoutofmutualfundsremainunexplained.Tothatendthe paperleavesasanunansweredquestionwhethertheunexplainedpartof flowsresultsbecauseinvestorsuseasuperior,yetundiscovered,riskmodel,orwhetherinvestorsuse other,non-risk-based,criteriatomakeinvestmentdecisions.
การแปล กรุณารอสักครู่..
