Format:
1 Online-Ressource (54 p)
Content:
This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this hypothesis, this paper then finds a positive relation between price inefficiency and future stock returns. This return premium of price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently different from the return bias related to Jensen's inequality. This paper thus provides new insights about the determinants of expected stock returns, and new supporting evidence that idiosyncratic risk is priced
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 27, 2013 erstellt
Language:
English
DOI:
10.2139/ssrn.2319562
