| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7615 |
| 来源ID | Working Paper 7615 |
| Covariance Risk, Mispricing, and the Cross Section of Security Returns | |
| Kent D. Daniel; David Hirshleifer; Avanidhar Subrahmanyam | |
| 发表日期 | 2000-03-01 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | This paper offers a multisecurity model in which prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade to profit from mispricing. We derive a pricing relationship in which expected returns are linearly related to both risk and mispricing variables. The model thereby implies a multivariate relation between expected return, beta, and variables that proxy for mispricing of idiosyncratic components of value tends to be arbitraged away but systematic mispricing is not. The theory is consistent with several empirical findings regarding the cross-section of equity returns, including: the observed ability of fundamental/price ratios to forecast aggregate and cross-sectional returns, and of market value but not non-market size measures to forecast returns cross-sectionally; and the ability in some studies of fundamental/price ratios and market value to dominate traditional measures of security risk. The model also offers several untested empirical implications for the cross-section of expected returns and for the relation of volume to subsequent volatility. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w7615 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565167 |
| 推荐引用方式 GB/T 7714 | Kent D. Daniel,David Hirshleifer,Avanidhar Subrahmanyam. Covariance Risk, Mispricing, and the Cross Section of Security Returns. 2000. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7615.pdf（570KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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