Overconfidence, arbitrage, and equilibrium asset pricing

• 成果类型: Article; Proceedings Paper
• 署名作者: Daniel, KD; Hirshleifer, D; Subrahmanyam, A
• 署名单位: Northwestern University; University System of Ohio; Ohio State University; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00350
• 发表日期: 2001
• 页码: 921-965
• 关键词: cross-section; Market equilibrium; SECURITY MARKET; STOCK; returns; RISK; prices; volume; overreaction; volatility

摘要

This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental/price ratios). With many securities, mispricing of idiosyncratic value components diminishes but systematic mispricing does not. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns, and is consistent with several empirical findings. These include the ability of fundamental/price ratios and market value to forecast returns, and the domination of beta by these variables in some studies.