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- W1662034135 abstract "We provide a model with overconfident risk neutral investors, and therefore no risk premia, in which a price-based portfolio such as HML earns positive expected returns and loads on fundamental macroeconomic variables. Furthermore, loadings on such portfolios are proxies for mispricing, and therefore forecast cross-sectional returns, even after controlling for characteristics such as book-to-market. Thus, an empirical finding that covariances incrementally predict returns does not distinguish rational factor pricing from a setting with no risk premia. The analysis reconciles the high risk (market betas) of low book-to-market firms with their low expected returns, and offers new empirical implications to distinguish alternative theories." @default.
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- W1662034135 date "2005-01-01" @default.
- W1662034135 modified "2023-10-16" @default.
- W1662034135 title "Investor Psychology and Tests of Factor Pricing Models" @default.
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- W1662034135 doi "https://doi.org/10.2139/ssrn.854024" @default.
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