Prof. Ashley Wang from UC Irvine is giving a VGSF research seminar on "Asset
Pricing and Mispricing" on MONDAY, October 9th, from 16:30 to 18:00 at the
WU Wien (Seminarraum A. 619, UZA 4, 6. Stock, Block A, Nordbergstrasse 15,
1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Ashley is going to be in Vienna on Monday. If you like to meet her and to
discuss your research with her, please contact Michael Halling
(michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
In this paper we develop models for stock returns when stock prices are
subject to stochastic mispricing errors. We show that expected rates of
return 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 bias, proxied either by Kalman filter estimates or
by volatility and variance ratio of residual returns, are shown to be
significantly associated with realized risk adjusted returns.