منابع مشابه
Systematic 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...
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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 کاملOptimal investing with perceived mispricing
We derive optimal portfolio weights for an investor who has a strong belief on the distribution of the stock price at a future time. That distribution may be in disagreement with standard equilibrium pricing models, and the investor wants to take advantage of the perceived mispricing and attractive risk premium. We compute numerically optimal weights for models in which the investor believes th...
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 کاملExplaining Mispricing of Initial Public Offerings
This study examines the relative importance of underpricing as a signal of firm value, underwriter certification, subscription levels of shares on offer, and uncertainty surrounding firm value on mispricing of initial public offerings. A sample of 100 Singaporean initial public offerings (IPOs) during the period 1998-2000 indicates that subscription levels of shares on offer have the most signi...
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ژورنال
عنوان ژورنال: The Review of Financial Studies
سال: 2016
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhw107