Testing mispricing-augmented factor models in an emerging market: A quest for parsimony
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) stocks and short overpriced (new issue) stocks, earns s...
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| Format: | Article |
| Language: | English |
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Elsevier
2022-03-01
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| Series: | Borsa Istanbul Review |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845021000466 |