Relevant bibliographies by topics / Stock market mispricing

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Stock market mispricing'

Author: Grafiati
Published: 22 February 2023

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Journal articles on the topic "Stock market mispricing"

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Haque, Muhammad Emdadul. "Asset Growth and Future Stock Returns: Insight from International Equity Markets." International Business Research 14, no. 11 (2021): 1. http://dx.doi.org/10.5539/ibr.v14n11p1.

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The main purpose of this research is to examine the cross-sectional connection between asset growth and stock returns in the international equity market during 2016-2020. Firms in international equity markets, subsequently experience lower stock returns with higher asset growth rates, consistent with the United States evidence. If capital markets are well-developed stocks efficiently priced then the negative AG effect on returns is likely to be stronger, but different to country characteristics representing accounting quality, investor protection, and limits to arbitrage. The research is to ex
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Mian, G. Mujtaba, and Srinivasan Sankaraguruswamy. "Investor Sentiment and Stock Market Response to Earnings News." Accounting Review 87, no. 4 (2012): 1357–84. http://dx.doi.org/10.2308/accr-50158.

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ABSTRACT We examine whether market-wide investor sentiment influences the stock price sensitivity to firm-specific earnings news. Using the recently developed measure of investor sentiment by Baker and Wurgler (2006), we find that the stock price sensitivity to good earnings news is higher during high sentiment periods than during periods of low sentiment, whereas the stock price sensitivity to bad earnings news is higher during periods of low sentiment than during periods of high sentiment. This influence of sentiment is especially pronounced for the earnings news of small stocks, young stock
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Chen, Carl R., Peter P. Lung, and F. Albert Wang. "Stock Market Mispricing: Money Illusion or Resale Option?" Journal of Financial and Quantitative Analysis 44, no. 5 (2009): 1125–47. http://dx.doi.org/10.1017/s0022109009990238.

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AbstractWe examine two hypotheses to explain stock mispricing: i) the money illusion hypothesis (Modigliani and Cohn (1979)) and ii) the resale option hypothesis (Scheinkman and Xiong (2003)). We find that the money illusion hypothesis may explain the level, but not the volatility, of mispricing in the U.S. market. In contrast, the stock resale option hypothesis, which stems from heterogeneous beliefs about future dividend growth rates and short-sale constraints, can explain both the level and the volatility of mispricing. The evidence suggests that while the two hypotheses complement each oth
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Li, Larry, Adela McMurray, and Bo Liu. "The Functionality of Book-to-Market Ratio in Chinese Markets." International Research in Economics and Finance 2, no. 2 (2018): 50. http://dx.doi.org/10.20849/iref.v2i2.514.

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We investigate the question whether the book to market ratio acts as a “risk-based” or “mispricing-based” proxy for share price formation in Chinese markets. We find that a strong relationship is observed between the firms’ book to market ratio and stock returns both in current and following years, while we cannot find a steady relationship between market leverage ratio and stock returns. In addition, the findings support the notion that a mispricing-based explanation is more plausible in China due to the speculative features of the Chinese markets.
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Chuhdary, Meriam, and Aisha Ismail. "Analyzing the Arbitrage Opportunities and their Determinants in Deliverable Future Contracts: Evidence from Pakistan." Journal of Finance and Accounting Research 1, no. 2 (2019): 94–121. http://dx.doi.org/10.32350/jfar/0102/05.

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This study explores the arbitrage opportunities in Deliverable Future Contracts (DFC) due to mispricing and the factors affecting it. We use the cost of carry model to calculate the fair prices of futures. We use mispricing as a direct measure of arbitrage opportunities. With one-year daily data collected from the data portal of Pakistan Stock Exchange, we calculate mispricing for twenty-two stock futures. Summary statistics of mispricing confirm the presence of arbitrage opportunities in this market. We also examine the relationship of mispricing with the time to contract expiry, stock return
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Doukas, John A., Chansog (Francis) Kim, and Christos Pantzalis. "Arbitrage Risk and Stock Mispricing." Journal of Financial and Quantitative Analysis 45, no. 4 (2010): 907–34. http://dx.doi.org/10.1017/s0022109010000293.

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AbstractIn this paper we examine the relation between equity mispricing and arbitrage risk and find that stocks with high arbitrage risk have higher estimated mispricing than stocks with low arbitrage risk. These results are not limited to high book-to-market or small capitalization stocks, and they are not sensitive to transaction and short-selling costs. In addition, they remain robust to alternative multifactor return generating specification models and mispricing measures. Overall, our empirical results are consistent with the conjecture that mispricing is a manifestation of the inability
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Muhammad, Usman, Sana Saleem, Anwar ul Haq Muhammad, and Faiq Mahmood. "Stock mispricing and investment decisions: evidence from Pakistan." Journal of Financial Reporting and Accounting 16, no. 4 (2018): 725–41. http://dx.doi.org/10.1108/jfra-04-2017-0026.

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Purpose This study aims to examine the impact of stock mispricing on corporate investment decisions by taking the sample of non-financial firms listed on the Pakistan Stock Exchange during the period of 2008-2014. Design/methodology/approach To measure the mispricing, this study decomposes the market-to-book ratio into mispricing and growth components and measures corporate investment by capital expenditures. Fixed and random effect panel regression models are used to estimate the results. Findings Results of the study show that firms issue overvalued equity to finance the capital expenditures
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Mogbolu, Favoured. "Domestic Retail Investors’ Participation and Stock Price Efficiency in Nigeria." Tanzanian Economic Review 12, no. 1 (2022): 129–45. http://dx.doi.org/10.56279/ter.v12i1.103.

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This study tests whether retail behaviour affects the stock price and pricing efficiency of stocks on the Nigerian Stock Exchange (NSE) using data on equity from retail investors' market transactions. The Delong, et al. (1990) model is used to measure retail mispricing and stock price efficiency, whereas the Least Squares (LS) and Generalised Least Square (GLS) techniques are used to estimate the static and probability distributed lag (PDL) models. The study finds that in the short run, temporary retail mispricing impacts stock prices and positively affects stock price efficiency. Hence, retai
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Chan, Konan, David Ikenberry, and Inmoo Lee. "Economic Sources of Gain in Stock Repurchases." Journal of Financial and Quantitative Analysis 39, no. 3 (2004): 461–79. http://dx.doi.org/10.1017/s0022109000003987.

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AbstractPrevious studies offer a mixed understanding of the economic role of stock repurchases. This paper investigates three key economic motivations—mispricing, disgorging free cash flow, and increasing leverage—by evaluating cross-sectional differences in both the initial market reaction and long-run performance. The initial reaction provides some support for the mispricing story. However, subsequent earnings-related information shocks suggest that the initial market reaction is incomplete and that long-run performance may be informative. The long-horizon return evidence is most consistent
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Alber, Nader, and Ehab Ezzat. "The Impact of Herding Behavior on Stock Mispricing: The Case of Listed Companies at the Egyptian Exchange." European Journal of Business and Management Research 6, no. 4 (2021): 7–10. http://dx.doi.org/10.24018/ejbmr.2021.6.4.917.

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This paper aims at examining the impact of herding behavior on stock mispricing. Herding behavior is measured by Cross Sectional of Standard Deviation (CSSD), while stock mispricing is measured by the difference between the market value and intrinsic value of stock. This has been conducted using a sample of 24 companies are listed at the Egyptian exchange during the period from 2002 to 2018.
 Results indicate there is a significant effect of herd behavior on stock mispricing in a bivariate context, while the effect remains significant, even after controlling for inflation rate and discoun
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Dissertations / Theses on the topic "Stock market mispricing"

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Yang, Changyu. "Systematic Mispricing: Evidence from Real Estate Markets." University of Cincinnati / OhioLINK, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1563272643127727.

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Qin, Nan. "Three essays on mispricing and market efficiency." Diss., Virginia Tech, 2014. http://hdl.handle.net/10919/49671.

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This dissertation consists of three essays. The first essay studies the impact of indexing on stock price efficiency. Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this paper, we focus on one negative externality of indexing: the effect on efficiency of stock prices. Based on a sample of large and liquid U.S. stocks, we find that greater indexing leads to less efficient stock prices, as indicated by stronger post-earnings-announcement drift, greater deviations
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Chazi, Abdelaziz. "Which version of the equity market timing affects capital structure, perceived mispricing or adverse selection?" Thesis, University of North Texas, 2004. https://digital.library.unt.edu/ark:/67531/metadc4633/.

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Baker and Wurgler (2002) define a new theory of capital structure. In this theory capital structure evolves as the cumulative outcome of past attempts to time the equity market. Baker and Wurgler extend market timing theory to long-term capital structure, but their results do not clearly distinguish between the two versions of market timing: perceived mispricing and adverse selection. The main purpose of this dissertation is to empirically identify the relative importance of these two explanations. First, I retest Baker and Wurgler's theory by using insider trading as an alternative to market
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AlShammasi, Naji Mohammad. "The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio." Thesis, University of North Texas, 2015. https://digital.library.unt.edu/ark:/67531/metadc848132/.

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The purpose of this paper is to investigate the effect of the "limits of arbitrage" on securities mispricing. Specifically, I investigate the effect of the availability of substitutes and financial constraints on stock mispricing. In addition, this study investigates the difference in the limits of arbitrage, in the sense that it will lead to lower mispricing for these stocks, relative to non-S&P 500 stocks. I also examine if the lower mispricing can be attributed to their lower limits of arbitrage. Modern finance theory and efficient market hypothesis suggest that security prices, at equilib
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Qin, Jieye. "Understanding the cost of carry in Nikkei 225 stock index futures markets : mispricing, price and volatility dynamics." Thesis, Loughborough University, 2017. https://dspace.lboro.ac.uk/2134/27424.

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This dissertation studies the cost of carry relationship and the international dynamics of mispricing, price and volatility in the three Nikkei futures markets - the Osaka Exchange (OSE), the Singapore Exchange (SGX) and the Chicago Mercantile Exchange (CME). Previous research does not fully consider the unique characteristics of the triple-listed Nikkei futures contracts, or the price and volatility dynamics in the three Nikkei futures exchanges at the same time. This dissertation makes a significant contribution to the existing literature. In particular, with a comprehensive new 19-year samp
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CORDONI, Francesco. "From macro to micro: causal inference, firm valuation and trading conditions." Doctoral thesis, Scuola Normale Superiore, 2021. http://hdl.handle.net/11384/105970.

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The aim of the Ph.D. thesis is twofold. First, we investigate possible stock market mispricing to eventually build profitable investment strategies. Second, we analyze how the microscopic interactions among agents influence trading conditions thereby leading to market instabilities. As regards the study of possible mispricing, we identify via the vector autoregressive approach revenues as the primary driver process of firm growth. To do so, we employ the recent Independent Component Analysis (ICA) technique which allows us to identify contemporaneous causal relations among the considere
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Chan, Chun Keung. "A study of index-futures arbitrage and the intraday behavior of the mispricings." HKBU Institutional Repository, 2003. http://repository.hkbu.edu.hk/etd_ra/510.

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Ayed, Sabrine. "La Responsabilité Sociétale des Entreprises et l’Efficience des Marchés Financiers." Thesis, Université Côte d'Azur, 2020. http://www.theses.fr/2020COAZ0021.

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Cette thèse se compose de trois études empiriques (chapitre2, chapitre 3 et chapitre 4) qui examinent l’impact de la responsabilité sociétale des entreprises (RSE) sur l’efficience des marchés financiers. Notre objectif est de contribuer à la littérature portant sur les implications financières de la RSE à travers l’impact de cette dernière sur l’efficience des marchés financiers. Afin d’étudier cette relation, nous examinons en premier lieu l’impact de la RSE sur le mispricing. Ensuite, nous analysons la relation en profondeur en se focalisant sur la relation entre la RSE et les deux sources
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Ou, Nai-ling, and 歐乃菱. "Stock market anomaly, arbitrage and mispricing." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/64022220798598024646.

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CHI, CHIH-YU, and 紀祉宇. "Employee Stock Option and Stock Price Mispricing : Evidence from Taiwan Stock Market." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/40798241626422286836.

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Books on the topic "Stock market mispricing"

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Lamont, Owen A. Can the market add and subtract?: Mispricing in tech stock carve-outs. National Bureau of Economic Research, 2001.

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Book chapters on the topic "Stock market mispricing"

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Karahan, Cenk C., and Han N. Özsöylev. "Inflation and the Stock Market." In Managing Inflation and Supply Chain Disruptions in the Global Economy. IGI Global, 2022. http://dx.doi.org/10.4018/978-1-6684-5876-1.ch003.

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The stock market suffers from money illusion, discounting real cash flows at nominal discount rates. Subsequent research has also shown that the cross-section of stock returns is impacted differently by inflation. This cross-sectional variance across risky and safe stocks makes one of the most puzzling anomalies, risk (beta) anomaly, stronger in inflationary periods. This chapter tests the hypothesis that higher inflation leads to stronger mispricing of risk in stock market due to money illusion effect in Turkey, one of the emerging countries afflicted with perennial high inflation. The results show that although money illusion and mispricing were not visibly present in hyper-inflationary period in 1990s, the anomalous pricing of risky securities was remarkably high in inflationary periods over the last two decades, with a distinct mispricing due to the inflationary pressure that commenced with the COVID-19 pandemic. These varying results across the vastly different inflation regimes can be explained by rational inattention and impact of past experience of inflation on investment behavior.
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"Chapter 4. Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs." In Advances in Behavioral Finance, Volume II. Princeton University Press, 2005. http://dx.doi.org/10.1515/9781400829125-007.

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"Stock Mispricing." In Stock Markets, Investments and Corporate Behavior. IMPERIAL COLLEGE PRESS, 2015. http://dx.doi.org/10.1142/9781783267002_0010.

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Conference papers on the topic "Stock market mispricing"

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Indra, Lusiana, and Zaafri Ananto Husodo. "Twitter Sentiment on Mispricing in Indonesia Stock Market." In The Fifth Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA-5 2020). Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.201126.056.

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Prilitaningtyas, Arienka, and Muhammad Budi Prasetyo. "Mispricing on Islamic Stock Markets in ASEAN Countries." In Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018). Atlantis Press, 2019. http://dx.doi.org/10.2991/icbmr-18.2019.30.

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Reports on the topic "Stock market mispricing"

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Lamont, Owen, and Richard Thaler. Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs. National Bureau of Economic Research, 2001. http://dx.doi.org/10.3386/w8302.

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