Stock Market Mispricing: Inflation Illusion or Resale Option?

摘要：

Stock mispricing may arise when investors have subjective expectations about discount rates or dividend growth rates. We find that inflation illusion whereby investors mistakenly use subjective (i.e., nominal) discount rates may explain the level, but not the volatility of mispricing in the U.S. market. In contrast, stock resale option induced by heterogeneous beliefs about dividend growth rates and short-sales constraints can explain both the level and the volatility of mispricing. The evidence suggests that the two hypotheses compliment each other and together provide a more complete story in explaining the level of mispricing. Nonetheless, the differential influence on mispricing volatility suggests that the resale option hypothesis may provide a more coherent explanation for asset price bubbles in which phenomenal price level often comes with excess volatility and trading frenzy.

关键词： stock mispricing overconfidence heterogeneous beliefs resale option inflation illusion short-sales constraints share turnover implied volatility differential asset price bubbles

作者: Carl R. Chen Peter P. Lung F. Albert Wang

作者单位: Department of Economics and Finance, University of Dayton.Please address inquiries to F.Albert Wang, 300 College Park, Dayton, OH 45469-2251

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-69

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）