Hidden Advertising: The Streetlight Effect and Stock Mispricing

2021 ◽  
Author(s):  
Ofir Gefen ◽  
Po-Hsuan Hsu ◽  
Hsiao-Hui Lee ◽  
David M. Reeb
Keyword(s):  
Stock Mispricing

Under Pressure: Identifying Temporary Stock Mispricing Using Option Markets

2015 ◽  
Author(s):  
Luis Goncalves-Pinto ◽  
Bruce D. Grundy ◽  
Allaudeen Hameed ◽  
Thijs van der Heijden ◽  
Yichao Zhu
Keyword(s):  
Option Markets ◽  
Stock Mispricing

scholarly journals ARE ISLAMIC STOCKS LESS EXPOSED TO SENTIMENT-BASED MISPRICING THAN NON-ISLAMIC ONES? EVIDENCE FROM THE INDONESIAN STOCK EXCHANGE

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Rizqi Umar Al Hashfi ◽  
Ahmad Maulin Naufa ◽  
U’um Munawaroh
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Principal Component ◽  
Equation Model ◽  
Cross Sectional ◽  
Stock Mispricing ◽  
Time Invariant ◽  
Islamic Values

The aim of this research is to verify the role of Islamic value in stock mispricing in the Indonesian capital market. Empirically, high investor sentiment can lead to mispricing on equity appraisal. When investors feel excessively optimistic about their valuation, equity will be overpriced, or vice versa. The presence of Islamic values, such as the prohibition of interest, speculative and uncertain transactions, and excessive leverage, arguably reduce sentiment-based mispricing. Daily and cross-sectional market data were employed. In addition, principal component analysis was conducted to construct a firm-specific investor sentiment variable. With regard to the method, the Hausman-Taylor (H-T) approach was used to deal with heterogeneity, endogeneity, and the time-invariant variable in Fama-MacBeth regression. The results show that our baseline analysis confirms the mispricing of overall stocks. However, Islamic stocks are less exposed to sentiment-based mispricing than their non-Islamic counterparts. The results are consistent with our robustness test, in which we estimate the equation model across industry and portfolio. Finally, our findings imply various insights for both investors and policymakers.

Sell-Side Analysts and Stock Mispricing: Evidence from Mutual Fund Flow-Driven Trading Pressure

2019 ◽  
Vol 65 (11) ◽  
pp. 5427-5448 ◽  
Author(s):  
Johan Sulaeman ◽  
Kelsey D. Wei
Keyword(s):  
Mutual Fund ◽  
Fund Flow ◽  
Stock Mispricing

scholarly journals The economic costs of US stock mispricing

2011 ◽  
Vol 33 (4) ◽  
pp. 552-567 ◽  
Author(s):  
R. Bird ◽  
G. Menzies ◽  
P. Dixon ◽  
M. Rimmer
Keyword(s):  
Economic Costs ◽  
Stock Mispricing

Investor Horizons and Corporate Policies

2013 ◽  
Vol 48 (6) ◽  
pp. 1755-1780 ◽  
Author(s):  
François Derrien ◽  
Ambrus Kecskés ◽  
David Thesmar
Keyword(s):  
Corporate Governance ◽  
Market Timing ◽  
Short Term ◽  
Equity Financing ◽  
Corporate Policies ◽  
Corporate Behavior ◽  
Self Selection ◽  
Stock Mispricing

AbstractWe study the effect of investor horizons on corporate behavior. We argue that longer investor horizons attenuate the effect of stock mispricing on corporate policies. Consistent with our argument, we find that when a firm is undervalued, greater long-term investor ownership is associated with more investment, more equity financing, and less payouts to shareholders. Our results do not appear to be explained by long-term investor self-selection, monitoring (corporate governance), or concentration (blockholdings). Our results are consistent with a version of market timing in which mispriced firms cater to the tastes of their short-term investors rather than their long-term investors.

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