Mispricing: failure to capture the risk preferences dependent on market states

DOI10.1007/S10479-021-04166-1OpenAlexW3177258582MaRDI QIDQ6148772

Hongwei Xing, Shouyu Yao, Feiyang Cheng, Hanying Wang

Publication date: 8 February 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04166-1

zbMATH Keywords

reference pointrisk preferencemispricingmarket state

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Common risk factors in the returns on stocks and bonds

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