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The Mispricing Return Premium
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DOI：10.1093/rfs/hhq064.png)
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摘要
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We show that, when stock prices are subject to stochastic mispricing errors, expected rates of return may depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average. Empirically, the mispricing induced return premium, either estimated using a Kalman filter or proxied by the volatility and variance ratio of residual returns, is shown to be significantly associated with realized risk-adjusted returns.
Keyword:
EXPECTED STOCK RETURNS
CROSS-SECTION
INVESTOR SENTIMENT
LIQUIDITY RISK
MARKET
INFORMATION
PRICES
OVERREACTION
VOLATILITY
ANOMALIES
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期刊
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5.4
论文数:
2.8K
被引数:
3.0W
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