Can mispricing explain the value premium?

Autor:	Jan Jindra, Torben Voetmann, Jeffrey F. Jaffe, David J. Pedersen
Rok vydání:	2019
Předmět:	Economics and Econometrics 050208 finance 05 social sciences Empirical research Accounting Component (UML) 0502 economics and business Value (economics) Value premium Economics Econometrics Capital asset pricing model 050207 economics Finance
Zdroj:	Financial Management. 49:615-633
ISSN:	1755-053X 0046-3892
DOI:	10.1111/fima.12272
Popis:	Empirical research finds that stocks with low market‐to‐book (MTB) ratios outperform stocks with high MTB ratios. Rhodes‐Kropf, Robinson, and Viswanathan separate the MTB ratio into mispricing and growth options components. We report that the mispricing component, but not the growth options component, predicts abnormal returns for up to 5 years. We also find that the mispricing component, but not the growth options component, provides incremental information relative to existing asset pricing models. Moreover, after controlling for mispricing, value no longer beats growth. Overall, our evidence is consistent with a behavioral explanation of the value premium.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::fe8a2a29dc47504adbb970d6577165f8 https://doi.org/10.1111/fima.12272 Zobrazit plný text záznamu Plný text