an analysis of risk and pricing anomalies

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The Center for Research in Security Prices

Working Paper No. 500September 1999

University of ChicagoGraduate School of Business

An Analysis of Risk and Pricing Anomalies

Tobias J. MoskowitzGraduate School of Business, University of Chicago

This paper can be downloaded without charge from theSocial Science Research Network Electronic Paper Collection:

http://papers.ssrn.com/paper.taf?abstract_id=214169

An index to the Working Papers in the Center for Research in Security Prices Working Paper Series is

located at: http://gsbwww.uchicago.edu/fac/finance/papers/


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Mkt-rf

00.01

0.020.030.040.050.060.070.080.09

0.1

Aug-64

Aug-66

Aug-68

Aug-70

Aug-72

Aug-74

Aug-76

Aug-78

Aug-80

Aug-82

Aug-84

Aug-86

Aug-88

Aug-90

Aug-92

Aug-94

Sample stdev.

Standard deviation

Lagged squaredresidual (sqrt)

SMB

0

0.01

0.02

0.03

0.04

0.05

0.06

Aug-64

Aug-66

Aug-68

Aug-70

Aug-72

Aug-74

Aug-76

Aug-78

Aug-80

Aug-82

Aug-84

Aug-86

Aug-88

Aug-90

Aug-92

Aug-94

Sample stdev.

Standard deviation

Lagged squared

residual (sqrt)

HML

0

0.01

0.02

0.03

0.04

0.05

0.06

Aug-64

Aug-66

Aug-68

Aug-70

Aug-72

Aug-74

Aug-76

Aug-78

Aug-80

Aug-82

Aug-84

Aug-86

Aug-88

Aug-90

Aug-92

Aug-94

Sample stdev.

Standard deviation

Lagged squared

residual (sqrt)

PR1YR

0

0.02

0.04

0.06

0.08

0.1

0.12

Aug-64

Aug-66

Aug-68

Aug-70

Aug-72

Aug-74

Aug-76

Aug-78

Aug-80

Aug-82

Aug-84

Aug-86

Aug-88

Aug-90

Aug-92

Aug-94

Sample stdev.

Standard deviation

Lagged squared

residual (sqrt)

IM

00.010.020.030.040.050.060.070.080.090.1

Aug-64

Aug-66

Aug-68

Aug-70

Aug-72

Aug-74

Aug-76

Aug-78

Aug-80

Aug-82

Aug-84

Aug-86

Aug-88

Aug-90

Aug-92

Aug-94

Sample stdev.

Standard deviation

Lagged squared

residual (sqrt)


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SMB

-0.1

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

Aug-66

Aug-69

Aug-72

Aug-75

Aug-78

Aug-81

Aug-84

Aug-87

Aug-90

Aug-93

Month

Beta

GARCH

Regression

Correlation = 0.719

HML

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

Aug-66

Aug-70

Aug-74

Aug-78

Aug-82

Aug-86

Aug-90

Aug-94

Month

Beta

GARCH

Regression

Correlation = -0.271

PR1YR

-2.5

-2

-1.5

-1

-0.5

0

0.5

1

1.5

Aug-66

Aug-69

Aug-72

Aug-75

Aug-78

Aug-81

Aug-84

Aug-87

Aug-90

Aug-93

Month

Beta

GARCH

Regression

Correlation = 0.215

IM

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

Aug-66

Aug-70

Aug-74

Aug-78

Aug-82

Aug-86

Aug-90

Aug-94

Month

Beta

GARCH

Regression

Correlation = 0.111

an analysis of risk and pricing anomalies

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