Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower … exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … models can be recovered by accounting for time-varying common mispricing …

This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the … component, a risk premium, and a mispricing component. We argue that mispricing can arise for two reasons: (i) from false … policy shock is ambiguous in both the short- and long-run, and depends on the nature of the mispricing. Subsequently, we …

uncertainty and recursive utility function. Within such a framework, the negative volatility risk premium implied from option …