Information in mispricing factors for future investment opportunities
Hankil Kang and
The North American Journal of Economics and Finance, 2019, vol. 47, issue C, 657-668
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:47:y:2019:i:c:p:657-668
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().