Testing mispricing-augmented factor models in an emerging market: A quest for parsimony
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DOI: 10.1016/j.bir.2021.05.002
Abstract: Abstract This study is the first to test a financing-based misvaluation factor (UMO, undervalued-minus-overvalued), first proposed by Hirshleifer and Jiang (2010), for the Pakistani stock market. I find that the UMO factor, long underpriced (repurchase)… read more here.
Keywords: factor models; mispricing augmented; testing mispricing; factor ... See more keywords