Volume, Opinion Divergence and Book-to-Market Anomaly

Download or read book Volume, Opinion Divergence and Book-to-Market Anomaly written by Sebahattin Demirkan and published by . This book was released on 2018 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ali et al (2003) finding about the mispricing explanation on B/M anomaly is replicated by including risk compensation explanation. The proxy for opinion divergence in this study is unexpected volume which is also used by Garfinkel and Sokobin (2006). The finding supported investors' treatment of unexpected volume proxies opinion divergence as an additional risk that requires ex post compensation. I documented that B/M effect increases with the opinion divergence. I also directly test Varian (1985) argument empirically and provide support for the compensation for risk to the B/M-based portfolio returns as suggested by Fama and French (1992, 1993, 1997).