Covariance Risk, Mispricing, and the Cross Section of Security Returns
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This paper offers a multisecurity model in which prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade to profit from mispricing. We derive a pricing relationship in which expected returns are linearly related to both risk and mispricing
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美国国家经济研究局创建时间：
2000-03-01
