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Information in mispricing factors for future investment opportunities

Hankil Kang and Doojin Ryu

The North American Journal of Economics and Finance, 2019, vol. 47, issue C, 657-668

Abstract: We test whether the size, management, and performance factors in a recent mispricing factor model are related to future investment opportunities. Our results indicate that the management factor is positively related to the future economy, whereas the performance factor exhibits a negative relationship and the size factor shows a weak and mixed relationship. In cross-sectional tests, we observe that the management and performance factors have positive risk prices. Therefore, our results support the possibility that the empirical behavior of the management factor is consistent with risk-based explanations.

Keywords: Business cycle; Macroeconomic growth; Market anomaly; Mispricing factors; Risk premium (search for similar items in EconPapers)
JEL-codes: G12 G17 (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:ecofin:v:47:y:2019:i:c:p:657-668