Overconfidence, Arbitrage And Equilibrium Asset Pricing  

Oleh:

Daniel, Kent D. ; Hirshleifer, David ; Subrahmanyam, Avanidhar

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 3 (2001), page 921-965.
Topik: equilibrium; studies; arbitrage; models; risk; pricing policies; securities analysis
Fulltext: p 921.pdf (235.87KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures. With many securities, mispricing of idiosyncratic value components diminishes but systematic mispricing does not. The theory offers untested empirical implications about volume, volatility, fundamental / price ratios, and mean returns, and is consistent with several empirical findings. These include the ability of fundamental / price ratios and market value to forecast returns, and the domination of beta by these variables in some studies.

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