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Dividend Dynamics, Learning, and Expected Stock Index Returns
Jagannathan, Ravi - 2016
We show that, in a frictionless and efficient market, an asset pricing model that better describes investors' behavior should better forecast stock index returns. We propose a dividend model that predicts, out-of-sample, 31.3% of the variation in annual dividend growth rates (1976-2015)....
Persistent link: https://www.econbiz.de/10013003708
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Momentum Cycles and Limits to Arbitrage - Evidence from Victorian England and Post-Depression US Stock Markets
Chabot, Benjamin Remy - 2014
We evaluate the importance of “Limits to Arbitrage” to explain profitability of momentum strategies. Specifically, when …
Persistent link: https://www.econbiz.de/10013070475
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An Intangibles-Adjusted Profitability Factor
Jagannathan, Ravi; Korajczyk, Robert A.; Wang, Kai - 2023
earnings when measuring the return on equity of firms while constructing the profitability factor in the Fama and French (2015 …) five factor model. The profitability factor we construct has significant alpha relative to many extant multi-factor asset …-pricing models, including the standard Fama-French five factor model. When the profitability factor in the Fama and French (2015 …
Persistent link: https://www.econbiz.de/10014355664
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Growth Expectations, Dividend Yields, and Future Stock Returns
Da, Zhi - 2014
According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield as a model-imposed affine...
Persistent link: https://www.econbiz.de/10013044870
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Momentum Trading, Return Chasing, and Predictable Crashes
Ghysels, Eric; Jagannathan, Ravi; Chabot, Benjamin - National Bureau of Economic Research (NBER) - 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/10011096567
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Tail Risk in Momentum Strategy Returns
Jagannathan, Ravi; Daniel, Kent; Kim, Soohun - National Bureau of Economic Research (NBER) - 2012
Price momentum strategies have historically generated high positive returns with little systematic risk. However, these strategies also experience infrequent but severe losses. During 13 of the 978 months in our 1929-2010 sample, losses to a US-equity momentum strategy exceed 20 percent per...
Persistent link: https://www.econbiz.de/10010570537
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When Does a Mutual Fund's Trade Reveal its Skill?
Jagannathan, Ravi; Da, Zhi; Gao, Pengjie - National Bureau of Economic Research (NBER) - 2007
We conjecture that a mutual fund manager with superior stock selection ability is more likely to benefit from trading in stocks affected by information-events. Taking the probability of informed trading (PIN, Easley, Kiefer, O'Hara, and Paperman, 1996) to measure the amount of informed trading...
Persistent link: https://www.econbiz.de/10005774871
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An Anatomy of Pairs Trading : The Role of Idiosyncratic News, Common Information and Liquidity
Engelberg, Joseph - 2009
quot;Pairs tradingquot; involves taking a bet that the price paths of two stocks that have historically moved together will converge again after any divergence. Consistent with the view that profits to pairs trading comes through market making, i.e., short term liquidity provision and price...
Persistent link: https://www.econbiz.de/10012719692
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An Intangibles-Adjusted Profitability Factor
Jagannathan, Ravi; Korajczyk, Robert A.; Wang, Kai - National Bureau of Economic Research - 2023
earnings when measuring the return on equity of firms while constructing the profitability factor in the Fama and French (2015 …) five factor model. The profitability factor we construct has significant alpha relative to many extant multi-factor asset …-pricing models, including the standard Fama-French five factor model. When the profitability factor in the Fama and French (2015 …
Persistent link: https://www.econbiz.de/10014247989
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Seasonalities in security returns : the case of earnings announcements
Chari, Varadarajan V.; Jagannathan, Ravi; Ofer, Aharon R. - 1987
Persistent link: https://www.econbiz.de/10000737836