The Mispricing Return Premium

• 成果类型: Article
• 署名作者: Brennan, Michael J.; Wang, Ashley W.
• 署名单位: Federal Reserve System - USA; University of Manchester; University of California System; University of California Los Angeles
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq064
• 发表日期: 2010
• 页码: 3437
• 关键词: expected stock returns; cross-section; Investor sentiment; liquidity risk; MARKET; INFORMATION; prices; overreaction; volatility; anomalies

摘要

We show that, when stock prices are subject to stochastic mispricing errors, expected rates of return may depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average. Empirically, the mispricing induced return premium, either estimated using a Kalman filter or proxied by the volatility and variance ratio of residual returns, is shown to be significantly associated with realized risk-adjusted returns.