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

市场成熟度与错误定价

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

摘要：本文使用了45个国家1994年至2013年间的数据，依据Stambaugh, Yu, and Yuan (2015)的错误定价评估方法，证明了全球股票横截面收益的可预测性在经济意义和统计意义上是显著的。不同于此前的普遍认知，该综合排序方法下的基于11种多空股票异象的错误定价现象在发达市场中的普遍程度似乎与在新兴市场中的普遍程度一样。此外，本文还做了进一步研究：检验了盈余公告异象的有偏预期和国内发展程度的变化对错误定价的影响。

关键词：异象；资产定价；行为金融；国际股票市场；新兴市场

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

原文链接：http://dx.doi.org/10.1016/j.jfineco.2016.01.030

翻译：吴雨玲