MultifactorExplanationsofAssetPricingAnomaliesABSTRACT市场异常三因素模型阐述RelativedistressFF(1993)：3-因素模型较好的解释了基于size和BE/ME的组合收益率。FF(1994)：使用3-因素模型解释行业收益率。此处，FF要说明3-因素模型解释了基于E/P，C/P，和salesgrowth组合收益率。Strongfirm:LowE/P,lowC/Pandhighsalesgrowth,negativeslopesonHML（HML平均收益率大约是6%每年）implylowerexpectedreturns。Weakfirm:HighE/P,HighC/P,lowsalesgrowth,positiveslopesonHML(relativelydistressed),implyhigherexpectedreturns.3因素模型也扑捉了长期收益率的回复效应。Lowlong-termpastreturns(losers)tendtohavepositiveSMBandHMLslopes（smallerandrelativelydistressed）andhighterfutureaveragereturns.Long-termwinnerstendtobestrongstocksthathavenegativeslopesonHMLandlowfuturereturns.3-factor的局限I.Testsonthe25FFSize-BE/MEportfolios表1如果3因素模型描述了预期收益，那回归的节距项应该接近0。估计的节距项上看，小股票低BE/ME组合有大的负收益没有解释，大股票低BE/ME组合有正收益没有解释。其余情况还是接近于0的。LSVDeciles表2：Summarystatisticsforsimplemonthlyexcessreturns(inpercent)ontheLSVEqual-weightDeciles:7/63-12/93,366months表33-factortime-seriesregressionsformonthlyexcessreturns(inpercent)ontheLSVequal-weightdeciles:7/63-12/93,366monthsLSVdouble-sortportfolios表4summarystatisticsforexcessreturns(inpercent)ontheLSVequal-weightdouble-sortportfolios:7/63-12/93,366months表53factorregressionsformonthlyexcessreturns(inperent)ontheLSVequal-weightdouble-sortportfolios:7/63-12/93,366monthsPortfoliosformedonpastreturn表6averagemonthlyexcessreturns(inpercent)onequal-weightNYSEdecilesformedmonthlybasedoncontinuouslycompoundedpastreturns表73factorregressionsformonthlyexcessreturns(inpercent)onequal-weightNYSEportfoliosformedonpastreturns:7/63-12/93,366monthsExploring3-factormodels第一个不懂表8regressiontoexplainmonthlyexcessreturns(inpercent)onM,S,L,H,SMBandHML:7/63-12/93,366months表9summaryofinterceptsfromone-factorCAPMExcess-returnregressionsondifferentversionsofthe3-factorICAPMregressions:7/63-12/93,366months表10AveragemonthlyExcessreturns(inpercent)andcorrelationsofexcessreturnsforMMVproxies:7/63-12/93,366months