Systematic Mispricing of Speculative Stocks and the Cross-Sectional Risk-Return Trade-off

The authors are grateful for comments from Constantinos Antoniou, Brad Cannon, Neal Galpin, Kewei Hou, Dong Lou, Altan Pazarbasi, Andre de Souza, and Matthew Wynter as well as seminar participants at Baruch College, Boston College, Emory University, Rutgers University, St. John’s University, the University of Missouri, the University of Münster, the University of Notre Dame, the University of South Carolina, and Vanderbilt University and participants at Finance Down Under, the International Conference of the French Finance Association, the German Finance Association, the London Business School Workshop, the Research in Behavioral Finance Conference, the Southern Finance Association, and the University of Tennessee Finance Conference. Earlier versions of the paper circulated under the title of “Disentangling anomalies: Risk versus mispricing.”