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Momentum Crashes
Daniel, Kent - 2014
" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …
Persistent link: https://www.econbiz.de/10012458228
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The Distribution of Investor Beliefs, Stock Ownership and Stock Returns
Hardouvelis, Gikas A.; Karalas, Georgios; Vayanos, Dimitri - National Bureau of Economic Research - 2021
We study theoretically and empirically the relationship between investor beliefs, ownership dispersion and stock returns. We find that high dispersion, measured by high breadth or low Herfindahl index, forecasts returns positively for large stocks, as in Chen, Hong and Stein (2002), but...
Persistent link: https://www.econbiz.de/10012510575
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Are Stocks Really Less Volatile in the Long Run?
Pastor, Lubos - 2009
According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …
Persistent link: https://www.econbiz.de/10012463890
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Econometric Models of Limit-Order Executions
Lo, Andrew W. - 1997
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10012472554
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A Model of Momentum
Liu, Laura Xiaolei - 2011
interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …
Persistent link: https://www.econbiz.de/10012461911
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Equity market liberalizations as country IPOs
Martell, Rodolfo - 2003
Equity market liberalizations are like IPOs, but they are IPOs of a country's stock market rather than of individual firms. Both are endogenous events whose benefits are limited by poor investor protection, agency costs, and information asymmetries. As for stock prices following an IPO, there...
Persistent link: https://www.econbiz.de/10012469222
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High Frequency Traders : Taking Advantage of Speed
Aït-Sahalia, Yacine - 2013
volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we …
Persistent link: https://www.econbiz.de/10012459130
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Dynamic Asset Allocation With Event Risk
Liu, Jun - 2002
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices … and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both …
Persistent link: https://www.econbiz.de/10012469608
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Information Aggregation, Investment, and Managerial Incentives
Albagli, Elias - 2011
information aggregation leads to excess price volatility, over-valuation of shares in response to good news, and undervaluation in …
Persistent link: https://www.econbiz.de/10012461328
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What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
Dumas, Bernard - 2005
price volatility and "sentiment" fluctuations. We construct a general equilibrium model of sentiment. In it, there are two … exploit, and hence, eliminate excessive volatility, except in the very long run." …
Persistent link: https://www.econbiz.de/10012466868