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Daniel, Kent; Moskowitz, Tobias J. - 2013

premium attached to the option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of … each momentum strategy's mean and variance generates an unconditional Sharpe ratio approximately double that of the static … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …

Persistent link: https://www.econbiz.de/10010257503

Do prices reveal the presence of informed trading?

Collin-Dufresne, Pierre; Fos, Vyacheslav - 2013 - This Version: July 22, 2013

Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures of adverse selection respond to informed trading. We find that on days when activists accumulate shares, measures of adverse selection and of stock illiquidity are lower, even though...

Persistent link: https://www.econbiz.de/10010258544

Optimal rebalancing frequencies for multidimensional portfolios

Ekren, Ibrahim; Liu, Ren; Muhle-Karbe, Johannes - 2015

We study optimal investment with multiple assets in the presence of small proportional transaction costs. Rather than computing an asymptotically optimal no-trade region, we optimize over suitable trading frequencies. We derive explicit formulas for these and the associated welfare losses due to...

Persistent link: https://www.econbiz.de/10011412280

Technical trading revisited : false discoveries, persistence tests, and transaction costs

Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...

Persistent link: https://www.econbiz.de/10003961414

Slow-moving capital and execution costs : evidence from a major trading glitch

Bogousslavsky, Vincent; Collin-Dufresne, Pierre; … - 2017

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage). Stocks in which the firm accumulates...

Persistent link: https://www.econbiz.de/10011900033

Size and momentum profitability in international stock markets

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2015 - This version: August 25, 2015

incurred when implementing this strategy. Thus, while small stocks exhibit momentum, exploiting this feature is hardly feasible …

Persistent link: https://www.econbiz.de/10011412159

Transaction costs and shadow prices in discrete time

Czichowsky, Christoph; Muhle-Karbe, Johannes; … - 2013

price, i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of …

Persistent link: https://www.econbiz.de/10010257516

Portfolio selection with options and transaction costs

Malamud, Semyon - 2014

I introduce dynamic option trading and non-linear views into the classical portfolio selection problem. The optimal dynamic option portfolio is characterized explicitly in terms of its expected sensitivities (Greeks) and the role of the mean-variance effi cient portfolio is played by the "Greek...

Persistent link: https://www.econbiz.de/10010337963

Rebalancing with linear and quadratic costs

Liu, Ren; Muhle-Karbe, Johannes; Weber, Marko - 2014

We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk...

Persistent link: https://www.econbiz.de/10010338752

Managing inventory with proportional transaction costs

Gallien, Florent; Kassibrakis, Serge; Malamud, Semyon; … - 2016 - This version: June 2, 2016

We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process, and allows us to link the optimal policy to the moment-generating...

Persistent link: https://www.econbiz.de/10011519051