About this document
Mispricing and the Value Premium Explained by Maher Hussein is a document available to read on EtoBox.
This study examines whether mispricing, as measured by the Rhodes-Kropf, Robinson, and Viswanathan (2005) model, can explain the value premium. The study finds: 1) Stocks identified as underpriced by the RKRV (2005) model outperform overpriced stocks, suggesting the model identifies mispricing. 2) Only the mispricing component of the RKRV model predicts future abnormal returns and provides incremental information to asset pricing models. 3) Controlling for the mispricing factor, the value premium disap
- Author
- Maher Hussein
- Language
- EN