학회소식
[2021년 제 6차] Asset Prices When Investors Ignore Discount Rate Dynamics
작성자 : 관리자
조회수 : 66
게시일 :
2021-12-07
I propose and test a unifying hypothesis to explain both cross-sectional return anomalies and subjective return expectation errors: some investors ignore discount rate dynamics when forming return expectations. Consistent with the hypothesis: (1) stocks’ expected cash flow growth and idiosyncratic volatility explain the significant cross-sectional variation of analysts’ return forecast errors; (2) a measure of mispricing at the firm level strongly predicts stock returns, even among stocks in the S&P 500 universe and at long horizons; (3) a tradable mispricing factor explains the CAPM alphas of 12 leading anomalies including investment, profitability, beta, idiosyncratic volatility, and cash flow duration.
