Risk or Mispricing? From the Mouths of Professionals
通过两个实验，研究华尔街专业人士是否认为股票特征（如贝塔、市账比、公司规模）与回报相关是因为影响风险还是反映错误定价，结果支持传统定价模型和行为模型的不同预测。
This article uses two experiments to assess whether security characteristics are associated with returns because investors believe they affect risk, or because investors believe they reflect mispricing. We examine how beta, market-to-book ratios, and firm size affect the returns Wall Street professionals expect, and how those factors affect perceived risk and mispricing. Consistent with traditional asset pricing models, professionals expect firms with higher betas to be riskier investments and to generate higher returns. Consistent with behavioral models, professionals expect firms with higher market-to-book ratios to be overpriced (and riskier). Professionals expect large firms to be less risky, but most do not view firm size to be a sign of mispricing.