A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns

• 成果类型: Article
• 署名作者: Hirshleifer, David; Jiang, Danling
• 署名单位: University of California System; University of California Irvine; State University System of Florida; Florida State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq063
• 发表日期: 2010
• 页码: 3401
• 关键词: LONG-RUN PERFORMANCE; Book-to-market; Investor sentiment; DIVIDEND INITIATIONS; earnings management; stock-prices; equity; UNDERPERFORMANCE; issues; share

摘要

Behavioral theories suggest that investor misperceptions and market mispricing will be correlated across firms. We use equity and debt financing to identify common misvaluation across firms. A zero-investment portfolio (UMO, undervalued minus overvalued) built from repurchase and issue firms captures comovement in returns beyond that in some standard multifactor models, and substantially improves the Sharpe ratio of the tangency portfolio. Loadings on UMO incrementally predict the cross-section of returns on both portfolios and individual stocks, even among firms not recently involved in external financing activities. Further evidence suggests that UMO loadings proxy for the common component of a stock's misvaluation.