Value-at-riskMispricingAmplifying effectShort sale constraintsExpected returnsThis study investigates how the relation between value-at-risk (VaR) and expected returns differs under different mispricing statuses. We find that a significantly negative VaR-return relation, defined as the VaR effect, is ...
Value investing deals with selecting the stocks that trade at a discount compared to their true or intrinsic value, assuming that over time the market will correct for its mispricing and the stocks will reach its real value. Difference b... Marusic,Bojana 被引量: 0发表: 2008年 Value Investi...
In Warren Buffett’s 2023 Letter to Shareholders, he explained his long term view and how Berkshire Hathaway exploits short term mispricing. Occasionally, markets and/or the economy will cause stocks and bonds of some large and fundamentally good businesses to be strikingly mispriced. Indeed, marke...
(2004), ‘ValueGlamour and Accruals Mispricing: One Anomaly or Two?’, The Accounting Review 79 (2): 355–385. Article Google Scholar Diamond, D. W. and Verrecchia, R. E. (1981), ‘Information Aggregation in a Noisy Rational Expectations Economy’, Journal of Financial Economics 9 (3)...
Meanwhile, we acknowledge that the behavioral/mispricing-based mechanisms may also contribute to the time variation of the value and profitability premiums. For example, Stambaugh, Yu, and Yuan (2012) show that a set of well-known anomalies become more pronounced following periods of 23 high ...
This comes at a time of explosive growth... D Ikenberry,J Lakonishok,T Vermaelen 被引量: 2发表: 1998年 Value-Glamour and Accruals Mispricing: One Anomaly or Two? We investigate whether the accruals anomaly is a manifestation of the glamour stock phenomenon documented in the finance ...
In simulations, the model-implied average conditional alpha of the high book-to-market stocks is significantly positive, whereas the alpha of the growth portfolio is significantly negative, which is consistent with the pattern of CAPM mispricing in the data.1 Several empirical observations support ...
–This paper introduces the concept of statistical arbitrage through a trading strategy known as the mispricing portfolio. –It focuses specifically on mean-reverting strategies designed to exploit persistent anomalies observed in financial markets. ...
Buffett, the patron saint of value investors, also practiced cigar butt investing with great success in the first decades of his career, until his partner,Charlie Munger, convinced him to broaden his definition of “value”...
that if the cash flows from the portfolio deteriorate substantially, they can just write off the portfolio and hand it over to the bank. In essence, we have a free call option on the cash flows this portfolio can generate without downside. The reason for the mispricing here is because of ...