| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29016 |
| 来源ID | Working Paper 29016 |
| Pricing Without Mispricing | |
| Jianan Liu; Tobias J. Moskowitz; Robert F. Stambaugh | |
| 发表日期 | 2021-07-12 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We investigate whether various asset pricing models could hold in an efficient market. Assuming decade-old information should be priced correctly, we test whether a model assigns zero alpha to investment strategies that use only such information. The CAPM passes this test, but prominent multifactor models do not. Multifactor betas may help capture expected returns on mispriced stocks, but persistence in those betas distorts the stocks' implied expected returns after prices correct. Such effects are strongest in large-cap stocks, whose multifactor betas are the most persistent. Hence, prominent multifactor models distort expected returns, absent mispricing, for the largest, most liquid stocks. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Behavioral Finance |
| URL | https://www.nber.org/papers/w29016 |
| 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/586690 |
| 推荐引用方式 GB/T 7714 | Jianan Liu,Tobias J. Moskowitz,Robert F. Stambaugh. Pricing Without Mispricing. 2021. |
| 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 | ||
| w29016.pdf（692KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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