Mispricing Factors

• 成果类型: Article
• 署名作者: Stambaugh, Robert F.; Yuan, Yu
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Shanghai Jiao Tong University; University of Pennsylvania
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw107
• 发表日期: 2017
• 页码: 1270
• 关键词: asset pricing-models; stock returns; cross-section; idiosyncratic risk; DISSECTING ANOMALIES; Investor sentiment; COSTLY ARBITRAGE; Expected returns; INFORMATION; earnings

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 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.