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The impact of a winner takes all tournament on managers’ strategies and asset mispricing
We investigate the asset’s price and the portfolio choices of the managers in the equilibrium generated by a winner takes all contest in a financial...
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The asymmetric mispricing information in analysts’ target prices
We study the mispricing information present in the target prices of US and international analysts. We hypothesize that asymmetry in the...
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Environmental, Social, and Governance (ESG) Ratings and Stock Mispricing: A Moderated Mediation Model
Under the background of China’s high-quality economic development, improving the information efficiency of the capital market is a hot topic worthy...
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Effects of financial flexibility value and accounting conservatism on investment: evidence from mispricing
This research examines how the interactive effects of financial flexibility value and accounting conservatism influence corporate investment...
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Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity
In this paper, we consider the optimal investment-consumption and life insurance strategy for a wage earner who has uncertain labor income described...
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Option Mispricing and Maturity Date: Evidence from China
This paper examines whether short-term options are mispriced during 4-week expiration cycles or 5-week expiration cycles in the Chinese option...
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Cyber loss model risk translates to premium mispricing and risk sensitivity
In this paper we focus on model risk and risk sensitivity when addressing the insurability of cyber risk. The standard statistical approaches to...
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Systematic Mispricing: Evidence from Real Estate Markets
Despite the extensive advancement of knowledge in the field of empirical asset pricing, little is known about how this literature applies to asset...
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Home advantage and mispricing in indoor sports’ ghost games: the case of European basketball
Several recent studies suggest that the home advantage, that is, the benefit competitors accrue from performing in familiar surroundings, was—at...
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Mispricing: failure to capture the risk preferences dependent on market states
This paper explores the mispricing relative to the capital asset pricing model through an equilibrium model. We find that both the strong risk...
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Accrual mispricing, value-at-risk, and expected stock returns
We investigate the extent to which a parsimonious measure of maximum likely loss that captures the tail risk of returns—known as value-at-risk...
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Bounded rationality, asymmetric information and mispricing in financial markets
This paper proposes an asset pricing model with heterogeneous and boundedly rational agents. It shows a way how the market aggregates fundamental...
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The Profitability and Arbitrage Efficiency of the Chicago Mercantile Exchange Nikkei 225 Futures
This article studies the profitability and arbitrage efficiency of the Chicago Mercantile Exchange (CME) Nikkei 225 futures. As one of the most...
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Stock Markets, Investment, and the Real Economy: An Analysis of Firm-Level Data in India
Using a large panel of Indian firms, we investigate if mispricing in the stock market has an impact on firm-level investment. A significantly...
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Firm-level investor favoritism and the external financing and capital expenditure anomalies
Prior literature documents a positive (negative) relation between past (future) stock returns and both external financing and capital expenditures....
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Manager sentiment, stock return, and the evolving information environment in post-IPO firms
This study examines the evolving information environment in a sample of post-IPO firms from 2010 to 2020 by exploring the relationship between...
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Book-to-market effect and product life cycle
This paper examines the relationship between product life cycle and book-to-market effect on cross-sectional stock returns. While previous papers...
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Pairs trading in the index options market
We test the Index options market efficiency by means of a statistical arbitrage strategy, i.e. pairs trading. Using data on five Index Option Markets...
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The cross-section of January effect
We examine the cross-sectional January effect among portfolios that long sentiment-prone and difficult-to-arbitrage stocks and short...
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The impact of analyst forecast errors on fundamental indexation: the Australian evidence
Evidence from many developed markets suggests that fundamental indices outperform capitalisation-weighted indices. Existing studies suspect a story...