Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings

We conduct a controlled experiment with financial professionals to examine more directly whether value and momentum reflect risk factors or mispricing. By eliciting their perceptions return expectations for company stocks, we identify what constitutes risky investment from the point of investors. Contrary factor hypothesis, stocks are regarded as less risky. However, other factors, such size beta, fall in line traditional interpretation factors. Consistent empirical findings, observe higher raising questions on analysts believing risk–return trade-off.