Abstract
We test whether the size, management, and performance factors in a recent mispricing factor model are related to future investment opportunities. Our results indicate that the management factor is positively related to the future economy, whereas the performance factor exhibits a negative relationship and the size factor shows a weak and mixed relationship. In cross-sectional tests, we observe that the management and performance factors have positive risk prices. Therefore, our results support the possibility that the empirical behavior of the management factor is consistent with risk-based explanations.
| Original language | English |
|---|---|
| Pages (from-to) | 657-668 |
| Number of pages | 12 |
| Journal | North American Journal of Economics and Finance |
| Volume | 47 |
| DOIs | |
| State | Published - Jan 2019 |
Keywords
- Business cycle
- Macroeconomic growth
- Market anomaly
- Mispricing factors
- Risk premium
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