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This paper offers a model in which asset prices reflect both Covariance Risk and misperceptions of firms' prospects. With many securities, mispricing of idiosyncratic value components diminishes but systematic overpricing persists. This paper was presented at the 1998 Econometric Society Meetings in Chicago, the 1998 conference on efficient markets at UCLA, and the 1999 WFA meetings.
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Оригинальное название
Covariance Risk Mispricing and the Cross Section of Security Returns
This paper offers a model in which asset prices reflect both Covariance Risk and misperceptions of firms' prospects. With many securities, mispricing of idiosyncratic value components diminishes but systematic overpricing persists. This paper was presented at the 1998 Econometric Society Meetings in Chicago, the 1998 conference on efficient markets at UCLA, and the 1999 WFA meetings.
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This paper offers a model in which asset prices reflect both Covariance Risk and misperceptions of firms' prospects. With many securities, mispricing of idiosyncratic value components diminishes but systematic overpricing persists. This paper was presented at the 1998 Econometric Society Meetings in Chicago, the 1998 conference on efficient markets at UCLA, and the 1999 WFA meetings.
Авторское право:
Attribution Non-Commercial (BY-NC)
Доступные форматы
Скачайте в формате PDF, TXT или читайте онлайн в Scribd