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Article: Risk or mispricing? From the mouths of professionals
Title | Risk or mispricing? From the mouths of professionals |
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Authors | |
Issue Date | 2004 |
Citation | Financial Management, 2004, v. 33, n. 3, p. 61-81 How to Cite? |
Abstract | This article uses two experiments to assess whether security characteristics are associated with returns because investors believe they affect risk, or because investors believe they reflect mispricing. We examine how beta, market-to-book ratios, and firm size affect the returns Wall Street professionals expect, and how those factors affect perceived risk and mispricing. Consistent with traditional asset pricing models, professionals expect firms with higher betas to be riskier investments and to generate higher returns. Consistent with behavioral models, professionals expect firms with higher market-to-book ratios to be overpriced (and riskier). Professionals expect large firms to be less risky, but most do not view firm size to be a sign of mispricing. |
Persistent Identifier | http://hdl.handle.net/10722/326395 |
ISSN | 2023 Impact Factor: 2.9 2023 SCImago Journal Rankings: 2.131 |
DC Field | Value | Language |
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dc.contributor.author | Bloomfield, Robert | - |
dc.contributor.author | Michaely, Roni | - |
dc.date.accessioned | 2023-03-09T10:00:20Z | - |
dc.date.available | 2023-03-09T10:00:20Z | - |
dc.date.issued | 2004 | - |
dc.identifier.citation | Financial Management, 2004, v. 33, n. 3, p. 61-81 | - |
dc.identifier.issn | 0046-3892 | - |
dc.identifier.uri | http://hdl.handle.net/10722/326395 | - |
dc.description.abstract | This article uses two experiments to assess whether security characteristics are associated with returns because investors believe they affect risk, or because investors believe they reflect mispricing. We examine how beta, market-to-book ratios, and firm size affect the returns Wall Street professionals expect, and how those factors affect perceived risk and mispricing. Consistent with traditional asset pricing models, professionals expect firms with higher betas to be riskier investments and to generate higher returns. Consistent with behavioral models, professionals expect firms with higher market-to-book ratios to be overpriced (and riskier). Professionals expect large firms to be less risky, but most do not view firm size to be a sign of mispricing. | - |
dc.language | eng | - |
dc.relation.ispartof | Financial Management | - |
dc.title | Risk or mispricing? From the mouths of professionals | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.scopus | eid_2-s2.0-6344237492 | - |
dc.identifier.volume | 33 | - |
dc.identifier.issue | 3 | - |
dc.identifier.spage | 61 | - |
dc.identifier.epage | 81 | - |