Can mispricing explain the value premium?
研究发现，市账率中的错误定价成分而非增长期权成分能预测长达5年的异常收益，且控制错误定价后价值股不再跑赢成长股，支持价值溢价的行为金融学解释。
Abstract Empirical research finds that stocks with low market‐to‐book (MTB) ratios outperform stocks with high MTB ratios. Rhodes‐Kropf, Robinson, and Viswanathan separate the MTB ratio into mispricing and growth options components. We report that the mispricing component, but not the growth options component, predicts abnormal returns for up to 5 years. We also find that the mispricing component, but not the growth options component, provides incremental information relative to existing asset pricing models. Moreover, after controlling for mispricing, value no longer beats growth. Overall, our evidence is consistent with a behavioral explanation of the value premium.