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Momentum Trading, Return Chasing, and Predictable Crashes

Ghysels, Eric; Jagannathan, Ravi; Chabot, Benjamin - National Bureau of Economic Research (NBER) - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...

Persistent link: https://www.econbiz.de/10011096567

The Shorting Premium and Asset Pricing Anomalies

Drechsler, Itamar; Drechsler, Qingyi Freda - National Bureau of Economic Research (NBER) - 2014

Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53%...

Persistent link: https://www.econbiz.de/10010821754

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Collin-Dufresne, Pierre; Johannes, Michael; Lochstoer, … - National Bureau of Economic Research (NBER) - 2013

Parameter learning strongly amplifies the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models...

Persistent link: https://www.econbiz.de/10010821954

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - National Bureau of Economic Research (NBER) - 2012

general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price … impact is stochastic. If noise trading volatility is mean-reverting, then the equilibrium price follows a multivariate … 'stochastic bridge' process, which displays stochastic volatility. This is because insiders choose to optimally wait to trade more …

Persistent link: https://www.econbiz.de/10010581038

Do prices reveal the presence of informed trading?

Collin-Dufresne, Pierre; Fos, Vyacheslav - National Bureau of Economic Research (NBER) - 2012

Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D...

Persistent link: https://www.econbiz.de/10010581041

Weak and Semi-Strong Form Stock Return Predictability Revisited

Ferson, Wayne; Heuson, Andrea; Su, Tie - National Bureau of Economic Research (NBER) - 2005

This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has...

Persistent link: https://www.econbiz.de/10005078633

Market Selection

Westerfield, Mark M.; Kogan, Leonid; Ross, Stephen; … - National Bureau of Economic Research (NBER) - 2009

the volatility of traders' consumption shares rather than by their level. Our results also apply to economies with state …

Persistent link: https://www.econbiz.de/10005087445

Mimicking Portfolios with Conditioning Information

Ferson, Wayne; Siegel, Andrew F.; Pisun (Tracy) Xu - National Bureau of Economic Research (NBER) - 2005

Mimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state. This paper derives and characterizes mimicking portfolios in the presence of...

Persistent link: https://www.econbiz.de/10005580569

When Does a Mutual Fund's Trade Reveal its Skill?

Jagannathan, Ravi; Da, Zhi; Gao, Pengjie - National Bureau of Economic Research (NBER) - 2007

We conjecture that a mutual fund manager with superior stock selection ability is more likely to benefit from trading in stocks affected by information-events. Taking the probability of informed trading (PIN, Easley, Kiefer, O'Hara, and Paperman, 1996) to measure the amount of informed trading...

Persistent link: https://www.econbiz.de/10005774871

Noise Traders

Dow, James; Gorton, Gary - National Bureau of Economic Research (NBER) - 2006

Noise traders are agents whose theoretical existence has been hypothesized as a way of solving certain fundamental problems in Financial Economics. We briefly review the literature on noise traders. The is an entry for The New Palgrave: A Dictionary of Economics, 2nd Edition (Palgrave Macmillan:...

Persistent link: https://www.econbiz.de/10005830053