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
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
Keywords Keywords not found

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