研究報告書 Does mispricing drive the value effect? Evidence from Japan

Shiomi, Naoya  ,  Takahashi, Hidetomo  ,  Xu, Peng

198pp.1 - 13 , 2016-02-29 , Institute of Comparative Economic Studies, Hosei University , 法政大学比較経済研究所
内容記述
This paper shows that the residual book-to-market, which is free of the effects of investment factors and distress risk, can predict future stock appreciation. In addition, we find that the tendency is stronger among stocks with higher idiosyncratic volatility and lower investor sophistication. Our findings indicate that mispricing is the main driver of the value effect.
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http://repo.lib.hosei.ac.jp/bitstream/10114/12349/1/WP198shiomi-other.pdf

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