We propose a novel way to estimate a portfolio's abnormal price, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time-series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long-horizon returns. We apply our techniques to study the cross-section of price levels relative to the capital asset pricing model (CAPM) and find that a single characteristic, adjusted value, provides a parsimonious model of CAPM-implied abnormal price.

中文翻译：

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在资产定价中定价


我们提出了一种新方法来估计投资组合的异常价格，即使用所选资产定价模型计算的价格与股息现值之间的百分比差距。我们的方法基于一种新的身份，类似于异常回报的时间序列估计器，避免了替代方法中的问题，并阐明了风险和错误定价在长期回报中的作用。我们应用我们的技术来研究相对于资本资产定价模型 （CAPM） 的价格水平的横截面，发现单个特征的调整值提供了 CAPM 隐含异常价格的简洁模型。