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The Mispricing Return Premium

Citations

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Cited by:

  1. Eunju Lee, 2016. "Short selling and market mispricing," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 797-833, October.
  2. De Moor, Lieven & Sercu, Piet, 2015. "Measuring the impact of extreme observations on CAPM alphas: Some methodological issues," Finance Research Letters, Elsevier, vol. 15(C), pages 1-10.
  3. Joel Vanden, 2015. "Noisy information and the size effect in stock returns," Annals of Finance, Springer, vol. 11(1), pages 77-107, February.
  4. Dietmar Ernst, 2022. "Simulation-Based Business Valuation: Methodical Implementation in the Valuation Practice," JRFM, MDPI, vol. 15(5), pages 1-17, April.
  5. Robert D. Arnott & Jason C. Hsu & Jun Liu & Harry Markowitz, 2015. "Can Noise Create the Size and Value Effects?," Management Science, INFORMS, vol. 61(11), pages 2569-2579, November.
  6. Tienyu Hwang & Simon Gao & Heather Owen, 2014. "Markowitz efficiency and size effect: evidence from the UK stock market," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 721-750, November.
  7. Boudt, Kris & Raza, Muhammad Wajid & Wauters, Marjan, 2019. "Evaluating the Shariah-compliance of equity portfolios: The weighting method matters," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 406-417.
  8. Kazuhiro Hiraki & George Skiadopoulos, 2018. "The Contribution of Frictions to Expected Returns," Working Papers 874, Queen Mary University of London, School of Economics and Finance.
  9. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2023. "Understanding mispricing in the travel and leisure industry," International Review of Financial Analysis, Elsevier, vol. 90(C).
  10. Crystal Xiaobei Chen, 2012. "The anatomy of short sales and price adjustment: evidence from the Hong Kong stock market," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(3), pages 204-218, June.
  11. Michael J. Brennan & Sahn-Wook Huh & Avanidhar Subrahmanyam, 2016. "Asymmetric Effects of Informed Trading on the Cost of Equity Capital," Management Science, INFORMS, vol. 62(9), pages 2460-2480, September.
  12. Adnan Abo Al Haija & Rahma Lahyani, 2023. "Dynamic interactions of actual stock returns with forecasted stock returns and investors’ risk aversion: empirical evidence interplaying the impact of Covid-19 pandemic," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1129-1149, October.
  13. Nan Qin & Vijay Singal, 2022. "Equal-weighting and value-weighting: which one is better?," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 743-768, February.
  14. Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek, 2017. "Asset Mispricing," NBER Working Papers 23231, National Bureau of Economic Research, Inc.
  15. Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010. "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 215-237, May.
  16. Liao, Cunfei & Luo, Qianlin & Tang, Guohao, 2021. "Aggregate liquidity premium and cross-sectional returns: Evidence from China," Economic Modelling, Elsevier, vol. 104(C).
  17. Cristina Ganja, 2019. "The liquidity premium: Evidence from the Polish stock market," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 11(1), pages 7-13, June.
  18. Kazuhiro Hiraki & George Skiadopoulos, 2023. "The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure," Working Papers 946, Queen Mary University of London, School of Economics and Finance.
  19. Mustafa Caglayan & Tho Pham & Oleksandr Talavera & Xiong Xiong, 2019. "Asset mispricing in loan secondary markets," Discussion Papers 19-07, Department of Economics, University of Birmingham.
  20. Lin, Qi, 2017. "Noisy prices and the Fama–French five-factor asset pricing model in China," Emerging Markets Review, Elsevier, vol. 31(C), pages 141-163.
  21. Favero, Carlo A. & Melone, Alessandro, 2020. "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers 14417, C.E.P.R. Discussion Papers.
  22. Nan Qin & Vijay Singal, 2015. "Indexing and Stock Price Efficiency," Financial Management, Financial Management Association International, vol. 44(4), pages 875-904, October.
  23. Caglayan, Mustafa & Pham, Tho & Talavera, Oleksandr & Xiong, Xiong, 2020. "Asset mispricing in peer-to-peer loan secondary markets," Journal of Corporate Finance, Elsevier, vol. 65(C).
  24. Adnan Abo Al Haija, 2025. "The dynamics of firms' abnormal earnings and the growth differential between market and book value of equity," Journal of Asset Management, Palgrave Macmillan, vol. 26(6), pages 596-614, October.
  25. Chen, Linda H. & Jiang, George J. & Xu, Danielle D. & Yao, Tong, 2020. "Dissecting the idiosyncratic volatility anomaly," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 193-209.
  26. Balakrishnan, Karthik & Shivakumar, Lakshmanan & Taori, Peeyush, 2021. "Analysts’ estimates of the cost of equity capital," Journal of Accounting and Economics, Elsevier, vol. 71(2).
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