AN EMPIRICAL ANALYSIS OF STOCK MISPRICING: EVIDENCE FROM UK STOCK MARKET
In this dissertation, mispricing in the UK stock market is investigated. It is well documented that stock mispricing has been discovered in stock markets in the world. This paper first reviews the mispricing evidences, the models valuing stocks, and hypotheses explaining mispricing established by pr...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/25787/ |
| _version_ | 1848793054513725440 |
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| author | Wang, Lujia |
| author_facet | Wang, Lujia |
| author_sort | Wang, Lujia |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | In this dissertation, mispricing in the UK stock market is investigated. It is well documented that stock mispricing has been discovered in stock markets in the world. This paper first reviews the mispricing evidences, the models valuing stocks, and hypotheses explaining mispricing established by previous researchers. Then, a sample test is conducted to analyse the stock mispricing in UK stock market. A large panel of UK firms listed on London Stock Exchange has been used to accomplish the empirical examination. According to results of portfolio classification analysis and regressions, it is found that 1) firm characteristics measured by book-to-market ratio and firm size have a significantly negative/positive impact on mispricing of stock; 2) there‘s significantly positive relationship between the stock mispricing and the inflation; 3) stocks with high mispricing underperform stocks with low mispricing; 4) arbitrage opportunities and stock mispricing are positively related. |
| first_indexed | 2025-11-14T18:54:12Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25787 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:54:12Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-257872017-10-19T14:26:25Z https://eprints.nottingham.ac.uk/25787/ AN EMPIRICAL ANALYSIS OF STOCK MISPRICING: EVIDENCE FROM UK STOCK MARKET Wang, Lujia In this dissertation, mispricing in the UK stock market is investigated. It is well documented that stock mispricing has been discovered in stock markets in the world. This paper first reviews the mispricing evidences, the models valuing stocks, and hypotheses explaining mispricing established by previous researchers. Then, a sample test is conducted to analyse the stock mispricing in UK stock market. A large panel of UK firms listed on London Stock Exchange has been used to accomplish the empirical examination. According to results of portfolio classification analysis and regressions, it is found that 1) firm characteristics measured by book-to-market ratio and firm size have a significantly negative/positive impact on mispricing of stock; 2) there‘s significantly positive relationship between the stock mispricing and the inflation; 3) stocks with high mispricing underperform stocks with low mispricing; 4) arbitrage opportunities and stock mispricing are positively related. 2012 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25787/1/DT_of_wanglujia-final.pdf Wang, Lujia (2012) AN EMPIRICAL ANALYSIS OF STOCK MISPRICING: EVIDENCE FROM UK STOCK MARKET. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Wang, Lujia AN EMPIRICAL ANALYSIS OF STOCK MISPRICING: EVIDENCE FROM UK STOCK MARKET |
| title | AN EMPIRICAL ANALYSIS OF STOCK MISPRICING: EVIDENCE FROM UK STOCK MARKET |
| title_full | AN EMPIRICAL ANALYSIS OF STOCK MISPRICING: EVIDENCE FROM UK STOCK MARKET |
| title_fullStr | AN EMPIRICAL ANALYSIS OF STOCK MISPRICING: EVIDENCE FROM UK STOCK MARKET |
| title_full_unstemmed | AN EMPIRICAL ANALYSIS OF STOCK MISPRICING: EVIDENCE FROM UK STOCK MARKET |
| title_short | AN EMPIRICAL ANALYSIS OF STOCK MISPRICING: EVIDENCE FROM UK STOCK MARKET |
| title_sort | empirical analysis of stock mispricing: evidence from uk stock market |
| url | https://eprints.nottingham.ac.uk/25787/ |