Market Frictions, Price Delay, and the Cross-Section of Expected Returns
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
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DOI：
10.2139/ssrn.408161
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发表时间：
2003-04
期刊：
影响因子：
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通讯作者：
Kewei Hou;T. Moskowitz
中科院分区：
文献类型：
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作者：
Kewei Hou;T. Moskowitz
我们用股价对信息反应的延迟来描述影响股票的市场摩擦的严重性。最严重的延迟公司要求一个大的回报溢价，捕捉规模效应和价值溢价的一半。此外，特殊风险只在最延迟的公司中定价。这些结果不能用其他来源的回报溢价、微观结构或纯流动性效应来解释，但似乎与投资者的认可和公司的忽视最为一致。被忽视的公司中的一小部分（不到市场的0.02%）在平均回报率方面占据了相当大的横截面变化。
We parsimoniously characterize the severity of market frictions affecting a stock using the delay with which its share price responds to information. The most severely delayed firms command a large return premium that captures the size effect and half the value premium. Moreover, idiosyncratic risk is priced only among the most delayed firms. These results are not explained by other sources of return premia, microstructure, or pure liquidity effects, but appear most consistent with investor recognition and firm neglect. The very small segment of neglected firms (less than 0.02% of the market) captures a sizeable amount of cross-sectional variation in average returns.