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摘要
En 中文
A four-factor model with two mispricing factors, in addition to market and size factors, accommodates a large set of anomalies better than notable four-and five-factor alternative models. Moreover, our size factor reveals a small-firm premium nearly twice usual estimates. The mispricing factors aggregate information across 11 prominent anomalies by averaging rankings within two clusters exhibiting the greatest return co-movement. Investor sentiment predicts the mispricing factors, especially their short legs, consistent with a mispricing interpretation and the asymmetry in ease of buying versus shorting. A three-factor model with a single mispricing factor also performs well, especially in Bayesian model comparisons.
Keyword:
ASSET PRICING-MODELS
STOCK RETURNS
CROSS-SECTION
IDIOSYNCRATIC RISK
DISSECTING ANOMALIES
INVESTOR SENTIMENT
COSTLY ARBITRAGE
EXPECTED RETURNS
INFORMATION
EARNINGS
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期刊
IF:
5.4
论文数:
2.8K
被引数:
3.0W
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