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The FIN and PEAD Factors: Motivation, Construction, and Availability

Authors: Kent D. Daniel; David A. Hirshleifer; Lin Sun;

The FIN and PEAD Factors: Motivation, Construction, and Availability

Abstract

This document provides an overview of the FIN and PEAD factors of Daniel, Hirshleifer, and Sun (2020) and describes their motivations, constructions, and availability. Based on investor psychology, Daniel, Hirshleifer, and Sun (2020) propose a theoretically motivated factor model that augments the market factor with two factors that capture long- and short-horizon mis-pricing. The long-horizon financing factor (FIN) exploits the information in managers’ decisions to issue or repurchase equity in response to persistent mis-pricing. The short-horizon earnings surprise factor (PEAD) is motivated by investor inattention and evidence of short-horizon under-reaction, and captures short-horizon mis-pricing. The 3-factor risk-and-behavioral model outperforms other proposed models in explaining a broad range of return anomalies. Daniel, Hirshleifer, and Sun (2020) is available at https://ssrn.com/abstract=3086063.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
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