Mispricing: failure to capture the risk preferences dependent on market states
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DOI: 10.1007/s10479-021-04166-1
Abstract: This paper explores the mispricing relative to the capital asset pricing model through an equilibrium model. We find that both the strong risk preference dependent on good market states and strong risk aversion dependent on… read more here.
Keywords: risk; market; market states; mispricing failure ... See more keywords