A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns
利用股权和债务融资识别公司间共同的错误定价，构建低估减高估的投资组合UMO，该因子能捕捉标准多因子模型之外的收益共同变动，并显著提升有效前沿的夏普比率，对股票截面收益有预测能力。
Behavioral theories suggest that investor misperceptions and market mispricing will be correlated across firms. We use equity and debt financing to identify common misval-uation across firms. A zero-investment portfolio (UMO, undervalued minus overvalued) built from repurchase and issue firms captures comovement in returns beyond that in some standard multifactor models, and substantially improves the Sharpe ratio of the tangency portfolio. Loadings on UMO incrementally predict the cross-section of returns on both portfolios and individual stocks, even among firms not recently involved in external fi-nancing activities. Further evidence suggests that UMO loadings proxy for the common component of a stock’s misvaluation. Several recent behavioral models predict commonality in the misvaluation of firms. In the style investing approach of Barberis and Shleifer (2003), com-monality in misvaluation arises when irrational investor enthusiasm for stock characteristics shifts, inducing positive comovement among stocks with similar characteristics and negative comovement in stocks with dissimilar characteris-tics. In the overconfidence approach of Daniel, Hirshleifer, and Subrahmanyam (2001), investors misinterpret what they perceive to be private information The article was previously entitled “Equity Financing, Commonality in Misvaluation, and the Cross-Section