Stock Market Mispricing: Money Illusion or Resale Option?
| العنوان: | Stock Market Mispricing: Money Illusion or Resale Option? |
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| المؤلفون: | Peter P. Lung, Carl R. Chen, F. Albert Wang |
| المصدر: | Journal of Financial and Quantitative Analysis. 44:1125-1147 |
| بيانات النشر: | Cambridge University Press (CUP), 2009. |
| سنة النشر: | 2009 |
| مصطلحات موضوعية: | Economics and Econometrics, Financial economics, Monetary economics, Implied volatility, Accounting, Money illusion, Volatility smile, Economics, Dividend, Stock market, Price level, Volatility (finance), Finance, Stock (geology) |
| الوصف: | We examine two hypotheses to explain stock mispricing: i) the money illusion hypothesis (Modigliani and Cohn (1979)) and ii) the resale option hypothesis (Scheinkman and Xiong (2003)). We find that the money illusion hypothesis may explain the level, but not the volatility, of mispricing in the U.S. market. In contrast, the stock resale option hypothesis, which stems from heterogeneous beliefs about future dividend growth rates and short-sale constraints, can explain both the level and the volatility of mispricing. The evidence suggests that while the two hypotheses complement each other in explaining the level of mispricing, the resale option hypothesis provides a more coherent explanation for asset price bubbles, in which extraordinarily high price levels are often accompanied by excessive volatility and frenzied trading. |
| تدمد: | 1756-6916 0022-1090 |
| الوصول الحر: | https://explore.openaire.eu/search/publication?articleId=doi_________::2ac88252012d8a49b967b9282a3473c1Test https://doi.org/10.1017/s0022109009990238Test |
| حقوق: | OPEN |
| رقم الانضمام: | edsair.doi...........2ac88252012d8a49b967b9282a3473c1 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 17566916 00221090 |
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