Short- and Long-Horizon Behavioral Factors

• 成果类型: Article
• 署名作者: Daniel, Kent; Hirshleifer, David; Sun, Lin
• 署名单位: Columbia University; National Bureau of Economic Research; University of California System; University of California Irvine; George Mason University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz069
• 发表日期: 2020
• 页码: 1673
• 关键词: cross-section; Investor sentiment; Market equilibrium; share issuance; FULLY REFLECT; stock returns; Price impact; earnings; equity; RISK

摘要

We propose a theoretically motivated factor model based on investor psychology and assess its ability to explain the cross-section of U.S. equity returns. Our factor model augments the market factor with two factors that capture long- and short-horizon mispricing. The long-horizon factor exploits the information in managers' decisions to issue or repurchase equity in response to persistent mispricing. The short-horizon earnings surprise factor, which is motivated by investor inattention and evidence of short-horizon underreaction, captures short-horizon anomalies. This 3-factor risk-and-behavioral model outperforms other proposed models in explaining a broad range of return anomalies.