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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 … Titman (1993). The evidence indicates that momentum profits have continued in the 1990's suggesting that the original results … that momentum profits are due to delayed overreactions which are eventually reversed. Our evidence provides support for the …
Persistent link: https://www.econbiz.de/10012471628
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Asset Pricing Models : Implications for Expected Returns and Portfolio Selection
MacKinlay, A. Craig - 1999
Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of...
Persistent link: https://www.econbiz.de/10012471625
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Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term
Fischer, Stanley - 1985
processes for asset returns also imply very little difference between portfolios calculated ignoring changes in the investment … opportunity set and those obtained when the investment opportunity set changes over time …
Persistent link: https://www.econbiz.de/10012477455
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Betting Against Beta
Frazzini, Andrea - 2010
We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....
Persistent link: https://www.econbiz.de/10012462057
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Two Trees : Asset Price Dynamics Induced by Market Clearing
Cochrane, John H. - 2003
regressions. Returns generally display positive serial correlation and negative cross-serial correlation, leading to 'momentuem …
Persistent link: https://www.econbiz.de/10012468578
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Risk, Mispricing, and Asset Allocation : Conditioning on Dividend Yield
Shanken, Jay - 2001
In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and...
Persistent link: https://www.econbiz.de/10012470049
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Occupation-Level Income Shocks and Asset Returns : Their Covariance and Implications for Portfolio Choice
Davis, Steven J. - 2000
formed on firm size is significantly correlated with income innovations for several occupations, and so are selected industry …-level equity portfolios. An application of the theory to the empirical results shows (a) large predicted levels of risky asset …
Persistent link: https://www.econbiz.de/10012470832
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Portfolio Inefficiency and the Cross-Section of Expected Returns
Kandel, Shmuel - 1994
A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...
Persistent link: https://www.econbiz.de/10012474226
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Sources of Risk and Expected Returns in Global Equity Markets
Ferson, Wayne E. - 1994
This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean- variance efficiency of a world...
Persistent link: https://www.econbiz.de/10012474312
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Consumption Risk and International Asset Returns : Some Empirical Evidence
Cumby, Robert E. - 1987
The paper examines if real stock returns in four countries are consistent with consumption-based models of international asset pricing. The paper finds that ex-ante real stock returns exhibit statistically significant fluctuations over time and that these fluctuations cannot be explained by...
Persistent link: https://www.econbiz.de/10012476685