Expectation Errors in Value/Glamour Strategies

value;glamour;financial strength;expectation errors;mispricing;658

경영대학 경영학과 ;

University:서울대학교 대학원

关键词: value;    glamour;    financial strength;    expectation errors;    mispricing;    658;   

Others  :  http://s-space.snu.ac.kr/bitstream/10371/124419/1/000000009257.pdf

美国|英语

来源: Seoul National University Open Repository

【 摘 要 】

This paper provides evidence of expectation errors in value/glamour strategies in the Korean stock market. Under mispricing explanations, prices of glamour (value) stocks reflect systematically optimistic (pessimistic) expectations vis-à-vis the firms’ fundamentals. Grouping firms based on whether the market’s expectations (implied by B/M and C/P) are congruent or incongruent with their financial strength (implied by FSCORE), I show that the value/glamour effect is concentrated (absent) among firms with incongruent (congruent) expectations and fundamentals. The results persist after controlling for the Fama-French 3 factors, thus supporting the mispricing-based explanation for value/glamour effects.