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A Proposal About a New Approach to Asset Pricing Theory : Expected Anomaly Model

  • WOONGKI LEE Business School, Korea University
An integrated economic view of asset pricing models including the pricing kernel model, cross-sectional model, time-series model, and expected anomaly model is presented. Several perspectives on the cross-section of expected anomalies are proposed. Modifications to the expected anomaly model are suggested. Asymptotic adjustments for errors-in-variables biases are discussed. Finally, an earlier concern against using spread portfolios is resolved.

  • WOONGKI LEE
An integrated economic view of asset pricing models including the pricing kernel model, cross-sectional model, time-series model, and expected anomaly model is presented. Several perspectives on the cross-section of expected anomalies are proposed. Modifications to the expected anomaly model are suggested. Asymptotic adjustments for errors-in-variables biases are discussed. Finally, an earlier concern against using spread portfolios is resolved.