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Measuring and Modelling Variation in the Risk-Return Trade-off

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …

Persistent link: https://www.econbiz.de/10005498159

Biased Shorts: Stock Market Implications of Short Sellers’ Disposition Effect

Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015

We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...

Persistent link: https://www.econbiz.de/10011252613

First to “Read” the News: News Analytics and Institutional Trading

Keim, Donald B; Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015

We investigate whether providers of high frequency news analytics affect the stock market. As identification, we exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics. We document a causal effect of...

Persistent link: https://www.econbiz.de/10011252620

Dynamic Trading and Asset Prices: Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - C.E.P.R. Discussion Papers - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Persistent link: https://www.econbiz.de/10008477180

Liquidity Risk, Leverage and Long-Run IPO Returns

Eckbo, B Espen; Norli, Øyvind - C.E.P.R. Discussion Papers - 2005

We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand Nasdaq initial public offering (IPO) stocks are bought and held for up to five years. The average long-run portfolio return is low, but IPO stocks appear as ‘longshots’, as...

Persistent link: https://www.econbiz.de/10005124287

Momentum and Turnover: Evidence from the German Stock Market

Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2002

This Paper analyses the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German...

Persistent link: https://www.econbiz.de/10005136650

Information Sales and Insider Trading

Cespa, Giovanni - C.E.P.R. Discussion Papers - 2004

Fundamental information resembles in many respects a durable good. Hence, the effects of its incorporation into stock prices depend on who is the agent controlling its flow. Similarly to a durable goods monopolist, a monopolistic analyst selling information intertemporally competes against...

Persistent link: https://www.econbiz.de/10005067575

Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium

Lettau, Martin; Wachter, Jessica - C.E.P.R. Discussion Papers - 2005

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference between value and growth stocks, we introduce a...

Persistent link: https://www.econbiz.de/10005504287

Euler Equation Errors

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2005

Among the most important pieces of empirical evidence against the standard representative agent, consumption-based asset pricing paradigm are the formidable unconditional Euler equation errors the model produces for cross-sections of asset returns. Here we ask whether calibrated leading asset...

Persistent link: https://www.econbiz.de/10005504372

Expected Returns and Expected Dividend Growth

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2002

We develop a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth make an important contribution to fluctuations...

Persistent link: https://www.econbiz.de/10005504785

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