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Mispricing and the five-factor model under different market sentiments
A parsimonious two-factor model consisting of the market factor and the mispricing factor (UMO) yields superior performance in explaining average stock returns than the Fama-French five-factor in high-sentiment periods. However, the five-factor model remains a powerful tool in asset pricing during l...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2020
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7327737/ https://www.ncbi.nlm.nih.gov/pubmed/32637678 http://dx.doi.org/10.1016/j.heliyon.2020.e04191 |