نتایج جستجو برای: mispricing
تعداد نتایج: 337 فیلتر نتایج به سال:
Noise traders as one of the key elements of the market play a significant role in determining the market volatilities, returns, and stock market mispricing. Hence, this study attempts to scrutinize the role of noise trading in capital asset pricing. Therefore, by using daily data, samples including 14105 data of 200 companies listed on stock exchange were selected and noise trading index was es...
Abstract Socially responsible (SR) institutions tend to focus more on the environmental, social, and governance (ESG) performance less quantitative signals of value. Consistent with this difference in focus, we find that SR react mispricing signals. Our evidence suggests increased ESG may have influenced stock return patterns. Specifically, abnormal returns associated these are greater for stoc...
Abstract We propose testing asset pricing models using multihorizon returns (MHRs). MHRs effectively generate a new set of test assets that is endogenous to the model and identifies broad possible conditional misspecifications. apply MHR-based prominent linear factor show these typically do poor job longer-horizon returns, with errors are similar in magnitude risk premiums they were designed ex...
The Fourier cosine expansion (COS) method is used for pricing European options numerically very fast. To apply the COS method, a truncation range density of log-returns need to be provided. Using Markov’s inequality, we derive new formula obtain and prove that large enough ensure convergence within predefined error tolerance. We also show by several examples classical approach determine cumulan...
We document that stocks have optimistic (pessimistic) consensus recommendations and are currently held by many short-term institutions exhibit large stock-return reversals: Their past outperformance (underperformance) is followed negative (positive) future alphas. The predictable return reversals originate from overreaction to recommendation releases the correction of these overreactions around...
یکی از علتهای ایجادکنندهی نابهنجاری اقلام تعهدی، قیمتگذاری نادرست سهام شرکتها توسط سرمایهگذاران است. در این پژوهش اثر اخبار مرتبط با اعلان سود و همچنین تأثیر عامل مومنتوم قیمت سهام بر اصلاح قیمتگذاری نادرست سهام شرکتها و در نتیجه اصلاح نابهنجاری اقلام تعهدی مورد تحلیل و بررسی قرار گرفته است. در این راستا، دو فرضیه تدوین گردید و از طریق مدلهای رگرسیونی چند متغیره و با استفاده از دادههای...
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