G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w7615
来源IDWorking 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
URLhttps://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
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Kent D. Daniel]的文章
[David Hirshleifer]的文章
[Avanidhar Subrahmanyam]的文章
百度学术
百度学术中相似的文章
[Kent D. Daniel]的文章
[David Hirshleifer]的文章
[Avanidhar Subrahmanyam]的文章
必应学术
必应学术中相似的文章
[Kent D. Daniel]的文章
[David Hirshleifer]的文章
[Avanidhar Subrahmanyam]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w7615.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。