Accounting Seminar（2015-25）
Topic: The future realized stock return is a problematic proxy for the expected return when a construct of interest affects not only the expected return but also the degree of mispricing: Evidence from the idiosyncratic return volatility
Speaker: Jing Fang, Hong Kong Polytechnic University
Time: Wednesday, 09 December, 10:00-11:30 a.m
Location: Room217, Guanghua Building 2
If a construct is price efficiency-enhancing (dampening) the relation between the construct and the mispricing-correction component of the future realized stock return (FRRET) is negative/positive (positive/negative) among undervalued/overvalued observations. Consequently, the relation between the construct and FRRET varies with undervalued and overvalued observations in the sample, as demonstrated in the relation between the idiosyncratic return volatility and FRRET. As a result of the relation between the construct and the mispricing-correction component of FRRET, no affirmative inference can be drawn about the effect of the construct on expected return from the relation between the construct and FRRET.
Your participation is warmly welcomed!
