Daniel, Kent D.
[Verfasser:in]
;
Hirshleifer, David A.
[Sonstige Person, Familie und Körperschaft];
Subrahmanyam, Avanidhar
[Sonstige Person, Familie und Körperschaft]
(Presentation Slides) Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 11, 1998 erstellt
Beschreibung:
Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental/price ratios). With many securities, mispricing of idiosyncratic value components diminishes but systematic mispricing does not. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns, and is consistent with several empirical findings. These include the ability of fundamental/price ratios and market value to forecast returns, and the domination of beta by these variables in some studies. Paper can be found here: "https://ssrn.com/abstract=1288932" https://ssrn.com/abstract=1288932