Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 30, 2022 erstellt
Beschreibung:
We construct a new measure related to biased beliefs based on industry relative stock market beta (IRSB) in the Chinese stock market. We find that stocks in the highest IRSB decile generate 12.84% more annualized return compared to stocks in the lowest IRSB decile. The IRSB premium is not driven by well-known risk factors and other return predictors and persists in alternative beta estimation and large firms. We argue that the outperformance of high IRSB stocks primarily stems from price inflation due to investors’ extrapolation bias