Journal of Financial Economics, Volume 122, Issue 2, November 2016, Pages 270-287

市場成熟度與錯誤定價

作者：Heiko Jacobs (Finance Department, University of Mannheim, Germany)

摘要：本文使用了45個國家1994年至2013年間的數據，依據Stambaugh, Yu, and Yuan (2015)的錯誤定價評估方法，證明了全球股票橫截面收益的可預測性在經濟意義和統計意義上是顯著的。不同于此前的普遍認知，該綜合排序方法下的基于11種多空股票異象的錯誤定價現象在發達市場中的普遍程度似乎與在新興市場中的普遍程度一樣。此外，本文還做了進一步研究：檢驗了盈餘公告異象的有偏預期和國内發展程度的變化對錯誤定價的影響。

關鍵詞：異象；資産定價；行為金融；國際股票市場；新興市場

Market maturity and mispricing

Heiko Jacobs (Finance Department, University of Mannheim, Germany)

ABSTRACT

Relying on the Stambaugh, Yu, and Yuan (2015) mispricing score and on 45 countries between 1994 and 2013, I document economically meaningful and statistically significant cross-sectional stock return predictability around the globe. In contrast to the widely held belief, mispricing associated with the 11 long/short anomalies underlying the composite ranking measure appears to be at least as prevalent in developed markets as in emerging markets. Additional support for this conjecture is obtained, among others, from tests for biased expectations based on the behavior of anomaly spreads surrounding earnings announcements as well as from within-country variation in development.

Keywords: Anomalies; Asset pricing; Behavioral finance; International stock markets; Emerging markets

原文鍊接：http://dx.doi.org/10.1016/j.jfineco.2016.01.030

翻譯：吳雨玲