Market maturity and mispricing

Heiko Jacobs

Journal of Financial Economics, 2016, vol. 122, issue 2, 270-287

Abstract: Relying on the Stambaugh, Yu, and Yuan (2015) mispricing score and on 45 countries between 1994 and 2013, I document economically meaningful and statistically significant cross-sectional stock return predictability around the globe. In contrast to the widely held belief, mispricing associated with the 11 long/short anomalies underlying the composite ranking measure appears to be at least as prevalent in developed markets as in emerging markets. Additional support for this conjecture is obtained, among others, from tests for biased expectations based on the behavior of anomaly spreads surrounding earnings announcements as well as from within-country variation in development.

Keywords: Anomalies; Asset pricing; Behavioral finance; International stock markets; Emerging markets (search for similar items in EconPapers)
JEL-codes: F37 G12 G14 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (57)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:122:y:2016:i:2:p:270-287

DOI: 10.1016/j.jfineco.2016.01.030

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