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Information in mispricing factors for future investment opportunities

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  • Kang, Hankil
  • Ryu, Doojin

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.

Suggested Citation

  • Kang, Hankil & Ryu, Doojin, 2019. "Information in mispricing factors for future investment opportunities," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 657-668.
    • Handle: RePEc:eee:ecofin:v:47:y:2019:i:c:p:657-668
    DOI: 10.1016/j.najef.2018.07.006
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    More about this item

    Keywords

    Business cycle; Macroeconomic growth; Market anomaly; Mispricing factors; Risk premium;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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