Similar Search Results

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

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

Slow Moving Capital

Pedersen, Lasse Heje; Mitchell, Mark; Pulvino, Todd - National Bureau of Economic Research (NBER) - 2007

We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While...

Persistent link: https://www.econbiz.de/10005830572

Price Momentum In Stocks: Insights From Victorian Age Data

Ghysels, Eric; Jagannathan, Ravi; Chabot, Benjamin - National Bureau of Economic Research (NBER) - 2008

We find that price momentum in stocks was a pervasive phenomenon during the Victorian age (1866-1907) as well. Momentum strategy profits have little systematic risk even at business cycle frequencies; disappear periodically only to reappear later; exhibit long run reversal; and are higher...

Persistent link: https://www.econbiz.de/10005710202

Impossible Frontiers

Lo, Andrew W.; Brennan, Thomas J. - National Bureau of Economic Research (NBER) - 2008

A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio---the portfolio of all assets in which each asset's weight is proportional to its total market capitalization---lies on the mean-variance efficient frontier, the set of portfolios having mean-variance...

Persistent link: https://www.econbiz.de/10005710882

Predictability of Returns and Cash Flows

Van Nieuwerburgh, Stijn; Koijen, Ralph S.J. - National Bureau of Economic Research (NBER) - 2010

We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries.

Persistent link: https://www.econbiz.de/10008776834

Speculators and Middlemen: The Strategy and Performance of Investors in the Housing Market

Bayer, Patrick; Geissler, Christopher; Mangum, Kyle; … - National Bureau of Economic Research (NBER) - 2011

Housing market transactions are a matter of public record and thus provide a rare opportunity to analyze the behavior, performance, and strategies of individual investors. Using data for all housing transactions in the Los Angeles area from 1988-2009, this paper provides empirical evidence on...

Persistent link: https://www.econbiz.de/10008836384

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

1
2
3
4
5
6
7
8
9
10
Next
Last