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- W2779103412 abstract "We propose a theoretically-motivated factor model based on investor psychology and assess its ability to explain the cross-section of U.S. equity returns. Our factor model augments the market factor with two factors which capture long- and short-horizon mispricing. The long-horizon factor exploits the information in managers' decisions to issue or repurchase equity in response to persistent mispricing. The short-horizon earnings surprise factor, which is motivated by investor inattention and evidence of short-horizon underreaction, captures short-horizon anomalies. This three-factor risk-and-behavioral model outperforms other proposed models in explaining a broad range of return anomalies." @default.
- W2779103412 created "2018-01-05" @default.
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- W2779103412 date "2017-01-01" @default.
- W2779103412 modified "2023-09-25" @default.
- W2779103412 title "Short and Long Horizon Behavioral Factors" @default.
- W2779103412 doi "https://doi.org/10.2139/ssrn.3086063" @default.
- W2779103412 hasPublicationYear "2017" @default.
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