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Liu, Laura Xiaolei - 2011

investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons, as well as the … interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model … fails to reproduce procyclical momentum profits …

Persistent link: https://www.econbiz.de/10013130782

Bad News Travels Slowly : Size, Analyst Coverage and the Profitability of Momentum Strategies

Hong, Harrison G. - 2008

A number of theories have been proposed to explain the medium-term momentum in stock returns identified by Jegadeesh … be an issue) the profitability of momentum strategies declines sharply with firm size. Second, holding size fixed …, momentum strategies work particularly well among stocks which have low analyst coverage. Finally, there is a strong asymmetry …

Persistent link: https://www.econbiz.de/10012774896

Uninformative Feedback and Risk Taking : Evidence from Retail Forex Trading

Ben-David, Itzhak - 2016

We document evidence consistent with retail day traders in the Forex market attributing random success to their own skill and, as a consequence, increasing risk taking. Although past performance does not predict future success for these traders, traders increase trade sizes, trade size...

Persistent link: https://www.econbiz.de/10012994895

Model Disagreement and Economic Outlook

Andrei, Daniel - 2014

We study the impact of model disagreement on the dynamics of asset prices, return volatility, and trade in the market. In our continuous-time framework, two investors have homogeneous preferences and equal access to information, but disagree about the length of the business cycle. We show that...

Persistent link: https://www.econbiz.de/10013052682

Psychology-Based Models of Asset Prices and Trading Volume

Barberis, Nicholas - 2018

Behavioral finance tries to make sense of financial data using models that are based on psychologically accurate assumptions about people's beliefs, preferences, and cognitive limits. I review behavioral finance approaches to understanding asset prices and trading volume, with particular...

Persistent link: https://www.econbiz.de/10012916604

Mood Betas and Seasonalities in Stock Returns

Hirshleifer, David A.; Jiang, Danling; Meng, Yuting - 2021

Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain …

Persistent link: https://www.econbiz.de/10013224974

Common Factors in Return Seasonalities

Keloharju, Matti - 2015

different seasonality strategies are modest, suggesting that they emanate from different common factors. Our results suggest …

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

Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Chen, Joseph - 2010

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...

Persistent link: https://www.econbiz.de/10012763325

A Dynamic Structural Model for Stock Return Volatility and Trading Volume

Brock, William A. - 2010

This paper seeks to develop a structural model that lets data on asset returns and trading volume speak to whether volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trading process itself. Returns and volume data argue, in the context...

Persistent link: https://www.econbiz.de/10012763565

Trading Volume and Serial Correlation in Stock Returns

Campbell, John Y. - 2012

This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse...

Persistent link: https://www.econbiz.de/10012755947

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