This paper evaluates various explanations for the profitability of momentum strategies documented in Jegadeesh and Titman (1993). The evidence indicates that momentum profits have continued in the 1990's suggesting that the original results were not a product of data snooping bias. The paper...

The three sections of this paper support three related conclusions. First, asset demands with the familiar properties of wealth homogeneity and linearity in expected returns follow as close approximations from expected utility maximizing behavior under the assumptions of constant relative risk...

In the framework of continuous-time finance theory, this paper derives the optimal consumption and portfolio rules for an international investor with constant expenditure shares [alpha, sub j] and constant relative risk aversion [1-gamma] in a dynamic context. The index of value obtained from...

This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently...

Investment ratings (e.g., by Morningstar) provide a simple ordinal scale (e.g., 1 to 5) for comparing investments. Typically, ratings are assigned within categories -- groups of assets sharing common characteristics -- but using the same ordinal scale for all groups. Comparing such categorized...

We show that reaching for yield--a tendency to take more risk when the real interest rate declines while the risk premium remains constant--results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When the interest rate is...