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Canadian Stock Mispricing and Its Determinants

Title:

Canadian Stock Mispricing and Its Determinants

Li, Xin (2016) Canadian Stock Mispricing and Its Determinants. Masters thesis, Concordia University.

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Abstract

ABSTRACT

Canada stock mispricings are estimated based on the models in Rhodes-Kropf, Robinson, and Viswanathan (2005) and Pástor and Veronesi (2003). Four sets of mispricing estimates are estimated by applying two estimation methods, Fama-MacBeth approach and Hoberg and Phillips (2010) three-step regression procedure, to each of the two models. We use both OLS and fixed-effects methods with clustered standard errors to assess potential determinant variables. We find that the industry Mining, Oil and Gas has the highest incidence of mispricing, while Information and Communication has the lowest incidence. We provide empirical evidence that stock mispricing is determined by investor sentiment, limits to arbitrage, firm characteristics and macro-level variables.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Li, Xin
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration (Finance option)
Date:April 2016
Thesis Supervisor(s):Kryzanowski, Lawrence
Keywords:Mispricing, stock, determinants, Canada, investor sentiment, limits to arbitrage
ID Code:981071
Deposited By: XIN LI
Deposited On:17 Jun 2016 14:14
Last Modified:18 Jan 2018 17:52

References:

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