| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24163 |
| 来源ID | Working Paper 24163 |
| Short- and Long-Horizon Behavioral Factors | |
| Kent Daniel; David Hirshleifer; Lin Sun | |
| 发表日期 | 2018 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We propose a theoretically-motivated factor model based on investor psychology and assess its ability to explain the cross-section of U.S. equity returns. Our factor model augments the market factor with two factors which capture long- and short-horizon mispricing. The long-horizon factor exploits the information in managers' decisions to issue or repurchase equity in response to persistent mispricing. The short-horizon earnings surprise factor, which is motivated by investor inattention and evidence of short-horizon underreaction, captures short-horizon anomalies. This three-factor risk-and-behavioral model outperforms other proposed models in explaining a broad range of return anomalies. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w24163 |
| 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/581837 |
| 推荐引用方式 GB/T 7714 | Kent Daniel,David Hirshleifer,Lin Sun. Short- and Long-Horizon Behavioral Factors. 2018. |
| 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 | ||
| w24163.pdf（617KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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