Overconfidence, Arbitrage, and Equilibrium Asset Pricing
构建了一个模型，其中资产价格同时反映协方差风险和对公司前景的误判，套利者交易以对抗错误定价。均衡中预期收益与风险及错误定价度量（如基本面/价格比）线性相关。该理论与多个实证发现一致，包括基本面/价格比和市场价值预测收益的能力。
This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental/price ratios). With many securities, mispricing of idiosyncratic value components diminishes but systematic mispricing does not. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns, and is consistent with several empirical findings. These include the ability of fundamental/price ratios and market value to forecast returns, and the domination of beta by these variables in some studies.