Variability of Mispricing Characteristics and Future Stock Returns

26 Pages Posted: 26 Sep 2022

See all articles by Jared DeLisle

Jared DeLisle

Utah State University

Dean Diavatopoulos

Seattle University

Andy Fodor

Ohio University

Haim Kassa

Miami University


This study explores the time series variability of the Stambaugh et al. (2012) aggregate mispricing score as well as its eleven individual components. We find that the predictive power of the mispricing score for future stock returns improves significantly when the mispricing score has been more variable. In a double sort, a long-short portfolio of mispricing score in the high variability quintile earns an average monthly risk-adjusted return of three times its low variability counterpart. The eleven individual components of the score produce qualitatively similar results. Our results are economically large and statistically significant after controlling for various risk factors.

Keywords: anomalies, Information, stock returns, mispricing characteristics, portfolio choice

Suggested Citation

DeLisle, R. Jared and Diavatopoulos, Dean and Fodor, Andy and Kassa, Haim, Variability of Mispricing Characteristics and Future Stock Returns. Available at SSRN:

R. Jared DeLisle (Contact Author)

Utah State University ( email )

Logan, UT 84322
United States
435-797-0885 (Phone)

Dean Diavatopoulos

Seattle University ( email )

901 12th Avenue
Seattle, WA 98122
United States

Andy Fodor

Ohio University ( email )

514 Copeland Hall
Athens, OH 45701
United States
740.593.0259 (Phone)

Haim Kassa

Miami University ( email )

800 E. Main St
The Farmer School of Business
Oxford, OH 45056
United States
(513) 529-2057 (Phone)
(513) 556-4891 (Fax)


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