A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns

By David A. Hirshleifer, Danling Jiang. 2010

133 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b3a183cb5c77c7cca065b1f42e81f6eeeef20602

How researchers see this paper

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In Accounting

1. Valeri V. Nikolaev
2. Ray Ball
3. Joseph J. Gerakos
4. Paul Borochin
5. Jie-An Yang
6. Juhani T. Linnainmaa
7. Beatriz García Osma
8. Juan Manuel García Lara

In Economics and Econometrics

1. Paul Borochin
2. Ray Ball
3. Jie-An Yang
4. Joseph J. Gerakos
5. Valeri V. Nikolaev
6. Juhani T. Linnainmaa

In Finance

1. Valeri V. Nikolaev
2. Paul Borochin
3. Ray Ball
4. Jie-An Yang
5. Joseph J. Gerakos
6. Juhani T. Linnainmaa
7. Ross L. Watts
8. Beatriz García Osma

Citations in the corpus

• Institutional Investors and Stock Return Anomalies (2016, unknown): “…eleven anomalies in   8   Stambaugh, Yu, and Yuan (2012) plus the book-to-market anomaly and the undervalued minus overvalued anomaly of Hirshleifer and Jiang (2010).5 From Table 1, the anomalies reflect sorts on various measures of financing, investment, profitability, stock returns, and…”
• The Business Cycle, Investor Sentiment, and Costly External Finance (2012, unknown): “…issuance decisions is suggested by a CEO survey in Graham and Harvey (2001), and also in Ritter (1991), Loughran and Ritter (1995, 1997), Baker and Wurgler (2000, 2002), Daniel and Titman (2006), Pontiff and Woodgate (2008), McLean, Pontiff, and Watanabe (2009), and Hirshleifer and Jiang (2010).”
• Innovative Efficiency and Stock Returns (2013, unknown): “We find that these two EMI factors are not highly correlated with well-known factors such as the market, size, value and momentum factors (Carhart 1997), the investment and return on equity (ROE) factors (Chen, Novy-Marx, and Zhang, 2011), and the UMO factor (Hirshleifer and Jiang, 2010).”
• Forest Through the Trees: Building Cross-Sections of Stock Returns (2020, unknown): “The models are: Fama-French-Carhart four-factors, Fama-French three- and five-factors, Fama-French five + momentum, Hirshleifer and Jiang (2010) four-factors, Q5 of Hou, Mo, Xue, and Zhang (2021), and a four-factor model of Stambaugh and Yuan (2017). The test assets are based on 10 characteristics a”
• The Effects of Institutional Investor Objectives on Firm Valuation and Governance (2016, methodology): “We test the robustness of our findings by repeating the analysis in Table VI using an alternative measure of overvaluation and misvaluation based on Hirshleifer and Jiang (2010). Appendix B.”
• Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns (2016, background): “This result replicates the long-standing accrual anomaly documented by Sloan (1996) —that is, firms with high accruals on average earn low returns.”