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Discount Rate Revision and the Mispricing Factor Zoo

https://doi.org/10.2139/ssrn.4934246
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Common risk factors in the returns on stocks and bonds
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Expectations data in asset pricing
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Short sales, institutional investors and the cross-section of stock returns
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Short interest, institutional ownership, and stock returns
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Profitability, investment and average returns
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The short of it: Investor sentiment and anomalies
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Cross section of option returns and idiosyncratic stock volatility
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The other side of value: The gross profitability premium
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A five-factor asset pricing model
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Agnostic fundamental analysis works
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Generalized Recovery
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The conditional expected market return
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Trading activity and expected stock returns
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Liquidity Risk and Expected Stock Returns
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What is the Expected Return on the Market?*
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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
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Downside Risk
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Systematic Risk and the Price Structure of Individual Equity Options
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Tail Risk and Asset Prices
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Mispricing Factors
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The Factor Structure in Equity Options
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Short and Long Horizon Behavioral Factors
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A Bound on Expected Stock Returns
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Conditional Skewness in Asset Pricing Tests
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Differences of Opinion and the Cross Section of Stock Returns
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Does the Stock Market Overreact?
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Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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Size and Book-to-Market Factors in Earnings and Returns
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Multifactor Explanations of Asset Pricing Anomalies
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Momentum Strategies
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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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Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium
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Share Issuance and Cross‐sectional Returns
inferredcites →https://doi.org/10.1111/jofi.12092openalex-snapshot
The Recovery Theorem
inferredcites →https://doi.org/10.1111/jofi.12286openalex-snapshot
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.1111/jofi.12404openalex-snapshot
Misspecified Recovery
inferredcites →https://doi.org/10.1111/jofi.12513openalex-snapshot
Volatility‐Managed Portfolios
inferredcites →https://doi.org/10.1111/jofi.12612openalex-snapshot
Interpreting Factor Models
inferredcites →https://doi.org/10.1111/jofi.12737openalex-snapshot
(Almost) Model‐Free Recovery
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What Is the Expected Return on a Stock?
inferredcites →https://doi.org/10.1111/jofi.12876openalex-snapshot
What Drives Anomaly Returns?
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Volatility Expectations and Returns
inferredcites →https://doi.org/10.1287/mnsc.2022.4367openalex-snapshot
Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks
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Open Source Cross-Sectional Asset Pricing
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Costly Arbitrage: Evidence from Closed-End Funds
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