UM  > Faculty of Business Administration
Status已發表Published
Pricing deviation, misvaluation comovement, and macroeconomic conditions
Eric C.Chang1; YanLuo2; JinjuanRen3
2013
Source PublicationJournal of Banking & Finance
ABS Journal Level3
ISSN0378-4266
Volume37Issue:13Pages:5285-5299
Abstract

We measure an individual stock’s misvaluation based on the deviation of its price from predicted intrinsic value. Both under- and overvalued stocks identified by this misvaluation measure exhibit greater valuation uncertainty and arbitrage difficulty, and the misvaluation measure strongly predicts stock returns incremental to size, book-to-market ratio, past returns, and various return anomalies. Based on the misvaluation measure, we form a misvaluation factor and find that stock return covariances with this factor possess significant and robust return predictive power. We further show that the misvaluation factor predicts future economic conditions, providing additional insight into the real effect of systematic misvaluation in the stock market.

KeywordMisvaluation Systematic Risk Conditions Macroeconomic Comovement Market Efficiency
DOIhttps://doi.org/10.1016/j.jbankfin.2013.08.005
Language英語English
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance ; Economics
WOS IDWOS:000327683200046
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Cited Times [WOS]:10   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Affiliation1.Faculty of Business and Economics, The University of Hong Kong, Pokfulam Road, Hong Kong
2.School of Management, Fudan University, No. 670 Guoshun Road, Shanghai 200433, PR China
3.Faculty of Business Administration, University of Macau, Av. Padre Tomás Pereira, Taipa, Macau, China
Recommended Citation
GB/T 7714
Eric C.Chang,YanLuo,JinjuanRen. Pricing deviation, misvaluation comovement, and macroeconomic conditions[J]. Journal of Banking & Finance,2013,37(13):5285-5299.
APA Eric C.Chang,YanLuo,&JinjuanRen.(2013).Pricing deviation, misvaluation comovement, and macroeconomic conditions.Journal of Banking & Finance,37(13),5285-5299.
MLA Eric C.Chang,et al."Pricing deviation, misvaluation comovement, and macroeconomic conditions".Journal of Banking & Finance 37.13(2013):5285-5299.
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