Mispricing Factors

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ID: 304336
2016
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Abstract
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. Received July 4, 2015; accepted November 29, 2016 by Editor Robin Greenwood.
Reference Key
openalex_W4243760387 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Robert F. Stambaugh, Yu Yuan
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Journal review of financial studies
Year 2016
DOI
10.1093/rfs/hhw107
URL
https://academic.oup.com/rfs/article-pdf/30/4/1270/24433865/hhw107.pdf
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