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Cash-Flow Risk, Discount Risk, and the Value Premium
Santos, Tano - 2005
value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …
Persistent link: https://www.econbiz.de/10012466855
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Gradual Portfolio Adjustment : Implications for Global Equity Portfolios and Returns
Bacchetta, Philippe - 2017
to the data. Conditional on reasonable risk aversion, we find that the data is consistent with infrequent portfolio …
Persistent link: https://www.econbiz.de/10012455318
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10012461911
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What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation
Barberis, Nicholas - 2006
One of the most striking portfolio puzzles is the "disposition effect": the tendency of individuals to sell stocks in their portfolios that have risen in value since purchase, rather than fallen in value. Perhaps the most prominent explanation for this puzzle is based on prospect theory. Despite...
Persistent link: https://www.econbiz.de/10012466268
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The Disposition Effect and Momentum
Grinblatt, Mark - 2002
expected returns that those that have experienced large declines and capital losses. The profitability of a momentum strategy … profitability of a momentum strategy. When this capital gains variable is used as a regressor along with past returns and volume to …
Persistent link: https://www.econbiz.de/10012469981
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Momentum Strategies
Chan, Louis K. C. - 1995
momentum. Market risk, size and book-to- market effects do not explain the drifts. Security analysts' earnings forecasts also …
Persistent link: https://www.econbiz.de/10012473492
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Momentum Crashes
Daniel, Kent - 2014
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10012458228
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Profitability of Momentum Strategies : An Evaluation of Alternative Explanations
Jegadeesh, Narasimhan - 1999
This paper evaluates various explanations for the profitability of momentum strategies documented in Jegadeesh and …
Persistent link: https://www.econbiz.de/10012471628
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Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy
Chien, YiLi - 2014
technologies and are subject to both aggregate and idiosyncratic income risk. The different asset trading technologies, which are …
Persistent link: https://www.econbiz.de/10012458339
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Selling Fast and Buying Slow : Heuristics and Trading Performance of Institutional Investors
Akepanidtaworn, Klakow; Di Mascio, Rick; Imas, Alex; … - National Bureau of Economic Research - 2021
Are market experts prone to heuristics, and if so, do they transfer across closely related domains--buying and selling? We investigate this question using a unique dataset of institutional investors with portfolios averaging $573 million. A striking finding emerges: while there is clear evidence...
Persistent link: https://www.econbiz.de/10012599366