Brennan, Michael J.; Wang, Ashley W. - In: Review of Financial Studies 23 (2010) 9, pp. 3437-3468
We show that, when stock prices are subject to stochastic mispricing errors, expected rates of return may depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average....