The Mispricing Return Premium
研究发现，当股票价格存在随机错误定价时，预期收益率不仅取决于标准资产定价模型中的基本面风险，还取决于错误定价的类型和程度，即使错误定价平均为零。实证表明，错误定价导致的回报溢价与已实现的风险调整收益显著相关。
We show that, when stock prices are subject to stochastic mispricing errors, expected rates of return may depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average. Empirically, the mispricing induced return premium, either estimated using a Kalman filter or proxied by the volatility and variance ratio of residual returns, is shown to be significantly associated with realized risk-adjusted returns. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.