| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21533 |
| 来源ID | Working Paper 21533 |
| Mispricing Factors | |
| Robert F. Stambaugh; Yu Yuan | |
| 发表日期 | 2015-09-07 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | 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 co-movement in long-short returns. Investor sentiment predicts the mispricing factors, especially their short legs, consistent with a mispricing interpretation and the asymmetry in ease of buying versus shorting. Replacing book-to-market with a single composite mispricing factor produces a better-performing three-factor model. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w21533 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579208 |
| 推荐引用方式 GB/T 7714 | Robert F. Stambaugh,Yu Yuan. Mispricing Factors. 2015. |
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