Objective: The main objective of this research is to explain the accrual anomaly using accruals factor (CMA) and accrual-based factor-mimicking portfolios as well as checking whether accrual anomaly is risk-based or mispricing. According to rational frictionless asset pricing model, the ability of accruals to predict returns should come from the loadings on this accrual factor loading that pred...

Abstract This paper documents that short-term options achieve significantly lower returns during months with 4 versus 5 weeks between expiration dates. The average return differential ranges from 16 to 29 basis points per week for delta-hedged portfolios, and 101 187 straddles, over 1996–2017. Evidence based on earnings announcements institutional holdings suggests investor inattention exact da...

Theories suggest that both risk and mispricing are associated with commonality in returns, and information associated with this commonality can be used to predict future returns. However, empirically implemented factor pricing models rarely incorporate psychological factors. I propose to augment standard factor models with behavioral factors to capture commonality in mispricing caused by psycho...

We document that hedge funds nurture mispricing in the Chinese financial market. exploit relationship between fund holdings and degree of case stocks are mainly for arbitrage purpose but not hedging, with without short-selling restrictions. Hedge intentionally hold overvalued stocks. Their trades, which generate an abnormal return to 1.78% per month, also impede dissipation stock mispricing. Fu...