Birru, Justin; Mohrschladt, Hannes; Young, Trevor - 2020
exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover …Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We …