Mispricing Factors
By Associate Professor Yu Yuan,
Associate Professor of Finance,
Shanghai Advanced Institute of Finance (SAIF)
Abstract
A four-factor model with two “mispricing” factors, in addition to market and size factors, accommodates a large set of anomalies better than notable four- and five-factor alternative models. Moreover, our size factor reveals a small-firm premium nearly twice usual estimates. The mispricing factors aggregate information across 11 prominent anomalies by averaging rankings within two clusters exhibiting the greatest co-movement in long-short returns. Investor sentiment predicts the mispricing factors, especially their short legs, consistent with a mispricing interpretation and the asymmetry in ease of buying versus shorting. Replacing book-to-market with a single composite mispricing factor produces a better-performing three-factor model.
About the Speaker
Yu Yuan is an Associate Professor of Finance at Shanghai Advanced Institute of Finance (SAIF). He is also a research associate at Federal Reserve Bank at Dallas and faculty fellow at Wharton Financial Institution Center. Before joining SAIF, he was a Visiting Assistant Professor at Wharton School from 2010 to 2012 and an Assistant Professor at University of Iowa from 2008 to 2011.
Professor Yuan’s research focuses on the areas of asset pricing, behavioral finance and international finance. He has published in leading financial journals, including the Journal of Finance and Journal of Financial Economics. He is the recipient of the AQR Insight Award, Honorable Mentions, 2012, Marshall Blume Prize, Honorable Mentions, 2012 and Xia Yihong Best Paper Awards, 2008.
Seminar Details
| Date |
Monday, 23 November 2015 |
| Time |
10:15am to 11:45am |
| Venue |
Singapore Management University
School of Accountancy
Seminar Room 3.1
|
| Address |
60 Stamford Road
Singapore 178900
(Click here for map) (Building #3)
|
| Register |
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