 Financing anomaly, mispricing and cross-sectional return predictabilityBaochen Yang, Tao Ye and Yao Ma International Review of Economics & Finance, 2022, vol. 79, issue C, 579-598 Abstract: This study investigates the persistence of financing anomaly in the Chinese stock market. The results show that the long-short portfolio earns an average monthly excess return of 0.88% for the following 12 months based on this anomaly. We provide a behavioral mispricing-based explanation for this anomaly that financing anomaly is stronger in stocks or period with high investor overconfidence. Moreover, we find that financing anomaly is stronger in stocks with more investor attention, indicating that excessive investor attention increases mispricing and reduces market efficiency. However, idiosyncratic volatility cannot capture the arbitrage costs faced by financing anomaly, and investors' lottery-like preference cannot explain financing anomaly. Our findings are robust after controlling for other firm characteristic variables, considering shell value contamination and different sample periods. Keywords: Financing anomaly; Investor overconfidence; Investor attention; Mispricing; Return predictability (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:79:y:2022:i:c:p:579-598 DOI: 10.1016/j.iref.2022.02.062 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
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