Mispricing: failure to capture the risk preferences dependent on market states

DOI10.1007/S10479-021-04166-1MaRDI QIDQ6148772zbMATH OpenOpenAlexFDO

Authors Hongwei Xing, Hanying Wang, Feiyang Cheng, Shouyu Yao

Publication date 8 February 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-021-04166-1

zbMATH Keywords

market statemispricingreference pointrisk preference

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• Common risk factors in the returns on stocks and bonds
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations

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• Investor attention and cryptocurrency market liquidity: a double-edged sword

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