團隊

Using real-time data, we show that currency excess return predictability is in part due to mispricing. First, the risk-adjusted profitability of systematic trading strategies decreases after dissemination of the underlying academic research, suggesting that market participants learn about mispricing from publications. Moreover, the decline is greater for strategies with larger insample profits and lower arbitrage costs. Second, the effect of comprehensive risk adjustments on trading profits is limited, and signal ranks and alphas decay quickly. The finding that analysts’ forecasts are inconsistent with currency predictors implies that investors’ trading contributes to mispricing and suggests biased expectations as a possible explanation.

積極進行研發的企業，會在國際股票市場上獲得更高的股票收益，這凸顯了無形投資在國際資產定價中的作用。此研發效應在增長期權風險更有可能作定價的國家較強，但與市場情緒和套利限制所代表的國家特徵無關。此外，我們發現研發強度與未來經營表現較佳、回報波動性和違約可能性息息相關。我們的證據顯示，研發強度與股票收益之間的橫向關係更可能歸因於風險溢價，而非錯誤定價。