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A Taxonomy of Anomalies and Their Trading Costs

Novy-Marx, Robert - 2014

strategy. Most of the anomalies that we consider with one-sided monthly turnover lower than 50% continue to generate …

Persistent link: https://www.econbiz.de/10013040541

Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy

Chien, YiLi - 2014

This paper extends the methodology developed in Chien, Cole and Lustig (2011 & 2012) (hereafter CCL2011 and CCL2012, respectively) to analyze and compute the equilibria of economies with heterogeneous agents who have different asset trading technologies and are subject to both aggregate and...

Persistent link: https://www.econbiz.de/10013050169

Common Factors in Return Seasonalities

Keloharju, Matti - 2015

A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per …

Persistent link: https://www.econbiz.de/10013031014

Strategic Trading in Informationally Complex Environments

Lambert, Nicolas S. - 2015

We study trading behavior and the properties of prices in informationally complex markets. Our model is based on the single-period version of the linear-normal framework of Kyle (1985). We allow for essentially arbitrary correlations among the random variables involved in the model: the value of...

Persistent link: https://www.econbiz.de/10013032405

Momentum Crashes

Daniel, Kent - 2015

option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and … variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors …

Persistent link: https://www.econbiz.de/10013032704

Dynamic Trading with Predictable Returns and Transaction Costs

Garleanu, Nicolae - 2010

signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the … slower mean reversion (alpha decay) get more weight in the aim portfolio. We implement the optimal strategy for commodity …

Persistent link: https://www.econbiz.de/10013151649

Transaction Costs in Dealer Markets : Evidence from the London Stock Exchange

Reiss, Peter C. - 2009

This paper describes regularities in the intraday spreads and prices quoted by dealers on the London Stock Exchange. It develops a measure of spread-related transaction costs, one that recognizes dealers' willingness to price trades within their quoted spreads. This measure of transaction costs...

Persistent link: https://www.econbiz.de/10013155968

Econometric Models of Limit-Order Executions

Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 2021

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/10013248406

Capital Share Risk in U.S. Asset Pricing

Lettau, Martin - 2014

A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...

Persistent link: https://www.econbiz.de/10013040236

Changing the Boston School Choice Mechanism

Abdulkadiroğlu, Atila; Pathak, Parag A.; Roth, Alvin E.; … - 2021

previous Boston mechanism, a priority matching mechanism, and the case in favor of the change to a strategy-proof mechanism … unassigned students could have been assigned to one of their stated choices with a different strategy under the current mechanism …. This interaction between sophisticated and unsophisticated players identifies a new rationale for strategy-proof mechanisms …

Persistent link: https://www.econbiz.de/10013240652