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Momentum trading, return chasing, and predictable crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 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/10011460679

Pairs trading : performance of a relative-value arbitrage rule

Gatev, Evan G.; Goetzmann, William N.; Rouwenhorst, K. Geert - In: The review of financial studies 19 (2006) 3, pp. 797-827

Persistent link: https://www.econbiz.de/10003358392

Lazy investors, discretionary consumption, and the cross-section of stock returns

Jagannathan, Ravi; Wang, Yong - In: The journal of finance : the journal of the American … 62 (2007) 4, pp. 1623-1661

Persistent link: https://www.econbiz.de/10003522397

Banking panics, information, and rational expectations equilibrium

Chari, V. V.; Jagannathan, Ravi - In: The journal of finance : the journal of the American … 43 (1988) 3, pp. 749-761

Persistent link: https://www.econbiz.de/10003512889

Tiebreaker : certification and multiple credit ratings

Bongaerts, Dion; Cremers, Martijn; Goetzmann, William N. - In: The journal of finance : the journal of the American … 67 (2012) 1, pp. 113-152

Persistent link: https://www.econbiz.de/10009508036

Weather-induced mood, institutional investors, and stock returns

Goetzmann, William N.; Kim, Dasol; Kumar, Alok; Wang, Qin - In: The review of financial studies 28 (2015) 1, pp. 73-111

Persistent link: https://www.econbiz.de/10011289296

Impatient trading, liquidity provision, and stock selection by mutual funds

Da, Zhi; Gao, Pengjie; Jagannathan, Ravi - In: The review of financial studies 24 (2011) 3, pp. 675-720

Persistent link: https://www.econbiz.de/10008934108

The stock market's reaction to unemployment news : why bad news is usually good for stocks

Boyd, John H.; Hu, Jian; Jagannathan, Ravi - In: The journal of finance : the journal of the American … 60 (2005) 2, pp. 649-672

Persistent link: https://www.econbiz.de/10002730292

Careers and survival : competition and risk in the hedge fund and CTA industry

Brown, Stephen J.; Goetzmann, William N.; Park, James - In: The journal of finance : the journal of the American … 56 (2001) 5, pp. 1869-1886

Persistent link: https://www.econbiz.de/10001615433

Empirical evaluation of asset-pricing models : a comparison of the SDF and beta methods

Jagannathan, Ravi; Wang, Zhenyu - In: The journal of finance : the journal of the American … 57 (2002) 5, pp. 2337-2368

Persistent link: https://www.econbiz.de/10001709440