Evidence and Profitable Strategies in Linear Asset Pricing Models
The author suggests a new measure of mispricing in asset pricing models, providing evidence of mispricing in U.S. equity data and proposing a profitable investment strategy based on this mispricing.
Featured in No. 35 on 30 Jan 2024 · 51 days after release
- Released
- 10 Dec 2023
- First featured
- No. 35 · 30 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4704766
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).