The Mispricing Return Premium
نویسندگان
چکیده
منابع مشابه
Pro tability Premium : Risk or Mispricing ? Current Draft : November 1 st 2015
This paper presents evidence that the stock return premium associated with profitability is hard to reconcile with risk-based explanations but is consistent with expectation errors. Firms with lower pro tability are more volatile, su er greater drawdowns and are more sensitive to macroeconomic conditions. This means that the pro table rms are actually less risky by most measures and perform bet...
متن کاملSystematic Mispricing
We provide statistical estimates of individual security mispricing which is defined as the departure of the market price from the prediction of a fundamental asset pricing model. We show that there is a return premium associated with systematic mispricing risk which is the dependence of the individual security mispricing on a market wide mispricing factor. The risk or characteristic-adjusted re...
متن کاملLong-run Post Takeover Stock Return: the Impact of Overlapping Return, Takeover Premium, and Method of Payment
This paper examines the impact of overlapping return, takeover premium, and method of payment to the long-run post takeover stock return. First, we do not find any statistically significant three-year post takeover abnormal return. Second, we find evidence that overlapping stock return inflates the conventional t-test statistic. Third, we do not find any direct evidence that long-run post takeo...
متن کاملThe Accrual Anomaly: Risk or Mispricing?
W document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational frictionless asset pricing models, the ability of accruals to predict returns should come from the loadings...
متن کاملHow Important Is Mispricing?
Despite abundant evidence that firms’ characteristics predict their asset returns, we know little about how much firms’ asset prices deviate from their true values. Such mispricing could be distinct from observed return predictability if investors have biased beliefs that are not highly correlated with firms’ characteristics. We use a model to estimate the extent of information processing biase...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2010
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhq064