Showing 1 - 10 of 5,763
Macroeconomic risks only partially capture the profitability premium, while adding a misvaluation factor based on investor sentiment helps explain a substantial amount of it. The profitability premium mainly exists in firms whose market valuations are inconsistent with their profitability and...
Persistent link: https://www.econbiz.de/10012855740
Macroeconomic risks only partially capture the profitability premium, while adding a misvaluation factor based on investor sentiment helps explain a substantial amount of it. The profitability premium mainly exists in firms whose market valuations are inconsistent with their profitability and...
Persistent link: https://www.econbiz.de/10012856586
Persistent link: https://www.econbiz.de/10012821244
asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …
Persistent link: https://www.econbiz.de/10012918741
This study documents the prominent role of idiosyncratic risk in impeding arbitrage activities with regard to a new … future returns the “Vo/P anomaly.” We find that this Vo/P anomaly is exacerbated by idiosyncratic risk to a greater extent … than by any other arbitrage risk factor, including institutional ownership, analyst coverage, bid-ask spread, and trading …
Persistent link: https://www.econbiz.de/10013134242
We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …
Persistent link: https://www.econbiz.de/10012935196
This paper examines the effect of income smoothing on information uncertainty, stock returns, and cost of equity. I show that income smoothing through both total accruals and discretionary accruals tends to reduce firms' information uncertainty, as measured by stock return volatility, analyst...
Persistent link: https://www.econbiz.de/10012938674
evidence suggests that low-duration stocks are also high-value, high-profitability, low-investment and low-risk stocks. In …
Persistent link: https://www.econbiz.de/10013242407
's international trade exposure. These findings suggest that global political uncertainty increases investors' aggregate risk aversion …
Persistent link: https://www.econbiz.de/10012856549
inattention and evidence of short-horizon underreaction, captures short-horizon anomalies. This three-factor risk …
Persistent link: https://www.econbiz.de/10012900438