摘要：Research carried out in the 70s showed the compatibility of stock pricing inlight of the CAPM (see Fama, MacBeth, 1973). Other works on the return changesoften showed deviations from the pricing theory. The cases of incompatible pricingwith the classic CAPM are confirmed by Banz (1981), DeBondt and Thaler(1985), and Jegadeesh and Titman (1993). The effect of DeBondt and Thaler isdescribed by the 3-factor Fama-French model, hereafter designated FF (see Fama,French, 1993). However, this model cannot explain the continuation of shorttermreturns (see Fama, French, 1995). The said returns anomalies contradictpricing in light of the CAPM.
