We conduct a controlled experiment with financial professionals to examine more directly whether value and momentum reflect risk factors or mispricing. By eliciting their risk perceptions and return expectations for company stocks, we identify what constitutes a risky investment from the point of investors. Contrary to the risk factor hypothesis, value and momentum stocks are regarded as less risky. However, other factors, such as size and beta, fall in line with their traditional interpretation as risk factors. Consistent with empirical findings, we observe higher return expectations for momentum stocks, raising questions on analysts believing in a risk–return trade-off.

我们与金融专业人士进行了对照实验，以更直接地检查价值和动量是否反映了风险因素或定价错误。通过得出他们对公司股票的风险认知和回报期望，我们从投资者的角度确定什么构成风险投资。与风险因素假设相反，价值和动量存量被认为风险较小。但是，其他因素（例如大小和beta）也符合其传统的风险因素解释。与经验结果一致，我们观察到对动量股票的较高回报期望，这引发了分析师认为风险与收益权衡的问题。