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Arbitrage Risk and Stock Mispricing

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Stock return variances
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Common risk factors in the returns on stocks and bonds
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Diversification's effect on firm value
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Costly arbitrage and the myth of idiosyncratic risk
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Costly arbitrage and idiosyncratic risk: Evidence from short sellers
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Valuation waves and merger activity: The empirical evidence
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Short interest, institutional ownership, and stock returns
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Dynamic liquidity in endowment economies
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Accounting valuation, market expectation, and cross-sectional stock returns
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Short-sellers, fundamental analysis, and stock returns
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Breadth of ownership and stock returns
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Equilibrium and welfare in markets with financially constrained arbitrageurs
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Style investing
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Arbitrage risk and the book-to-market anomaly
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Industry costs of equity
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A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler,…
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Equilibrium “Anomalies”
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By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
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Risk, Return, and Equilibrium: Empirical Tests
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Capital Market Equilibrium with Transaction Costs
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The Survival of Noise Traders in Financial Markets
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Does Arbitrage Flatten Demand Curves for Stocks?
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Liquidity Risk and Expected Stock Returns
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Arbitrage Risk and Post‐Earnings‐Announcement Drift
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Longitudinal Data Analysis Using Generalized Linear Models
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Transaction Costs and Asset Prices: A Dynamic Equilibrium model
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Investor Psychology and Security Market Under‐ and Overreactions
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What is the Intrinsic Value of the Dow?
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Equity Undervaluation and Decisions Related to Repurchase Tender Offers: An Empirical Investigation
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The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research?
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RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
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Does the Stock Market Overreact?
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The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias
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Contrarian Investment, Extrapolation, and Risk
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Multifactor Explanations of Asset Pricing Anomalies
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Momentum Strategies
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Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
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The Limits of Arbitrage
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On Persistence in Mutual Fund Performance
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The Cross‐Section of Volatility and Expected Returns
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Does Investor Misvaluation Drive the Takeover Market?
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Market Reactions to Tangible and Intangible Information
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The Two Faces of Analyst Coverage
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Earnings, Book Values, and Dividends in Equity Valuation*
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SCIENTIFIC THINKING AND WORKING
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Liquidity and Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.166840openalex-snapshot
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
inferredcites →https://doi.org/10.2139/ssrn.412680openalex-snapshot
Valuation Waves and Merger Activity: The Empirical Evidence
inferredcites →https://doi.org/10.2139/ssrn.685703openalex-snapshot
Idiosyncratic Risk and the Cross-Section of Stock Returns: Merton (1987) Meets Miller (1977)
inferredcites →https://doi.org/10.2139/ssrn.979084openalex-snapshot
Displayed and Effective Spreads By Market
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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Contrarian Investment, Extrapolation, and Risk
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Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
inferredcites →https://doi.org/10.2307/2490232openalex-snapshot
An Empirical Evaluation of Accounting Income Numbers
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Biases and Lags in Book Value and Their Effects on the Ability of the Book-to-Market Ratio to Predict Book Return on Equity
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Costly Arbitrage: Evidence from Closed-End Funds
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A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
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The Survival of Noise Traders in Financial Markets

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns
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Investment-Momentum: A Two-Dimensional Behavioral Strategy
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Fundamental analysis of banks: the use of financial statement information to screen winners from losers
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Corporate derivatives use policy and information environment
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Stock Mispricing and Firm Innovation: Evidence from an Emerging Equity Market
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Distress risk anomaly and misvaluation
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Idiosyncratic volatility: An indicator of noise trading?
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Guidance on strategic information: Investor-management disagreement and firm intrinsic value
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Strategic Trade when Securitized Portfolio Values Are Unknown
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Corporate social responsibility and market efficiency: Evidence from ESG and misvaluation measures
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Noise trader clusters and market efficiency
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Financial Reporting Quality and Investors' Divergence of Opinion*
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Are margin traders informed?
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Institutional and individual investors' short‐term reactions to the COVID ‐19 crisis in China
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Investor Sentiment, Profitable Trading Strategies, and Short Sale Constraints
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Idiosyncratic Risk, Costly Arbitrage and Asymmetry: Evidence from Pairs Trading
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New measures for forecasting extreme downside risk
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Biased Expectations and Conditional Size Effect
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How Market Illiquidity Conditions Valuation-Residual Persistence and Return Predictability
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Tests of Idiosyncratic Risk: Informed Trading Versus Noise and Arbitrage Risk
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Earnings management motives, idiosyncratic risk and corporate social responsibility in an emerging market
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Corporate Social Responsibility as a managerial learning process
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ESG rating disagreement and stock mispricing
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The Impact of Equity Misvaluation on PredictiveAccuracy of Bankruptcy Models
inferred← citeshttps://doi.org/10.4236/tel.2024.143046openalex-snapshot
Does Readability of Digital Transformation Information Disclosure Affect Asset Mispricing? A Signaling Theory Perspective
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Stocks’ pricing dynamics and behavioral finance: A review
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Intangible Capital, Investor Structure and Stock Return from the Perspective of RBV
inferred← citeshttps://doi.org/10.70675/5f3d4dfcz2a71z4443z8a04z25a3c1e26881openalex-snapshot
Corporate Social Responsibility and Market Efficiency
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