Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 曹杰教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jbankfin.2016.08.004 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要We test a new cross-sectional relation between expected stock return and idiosyncratic risk implied by the theory of costly arbitrage. If arbitrageurs find it more difficult to correct the mispricing of stocks with high idiosyncratic risk, there should be a positive (negative) relation between expected return and idiosyncratic risk for undervalued (overvalued) stocks. We combine several well-known anomalies to measure stock mispricing and proxy stock idiosyncratic risk using an exponential GARCH model for stock returns. We confirm that average stock returns monotonically increase (decrease) with idiosyncratic risk for undervalued (overvalued) stocks. Overall, our results support the importance of idiosyncratic risk as an arbitrage cost. (C) 2http://aims.cuhk.edu.hk/converis/portal/Publication/016 Elsevier B.V. All rights reserved.
着者Cao J, Han B
期刊名称Journal of Banking and Finance
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/016
卷号73
出版社ELSEVIER SCIENCE BV
页次1 - 15
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0378-4266
电子国际标準期刊号1872-6372
语言英式英语
关键词Costly arbitrage; Idiosyncratic risk; Mispricing
Web of Science 学科类别Business & Economics; Business, Finance; Economics
