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Kelly, Bryan T. - 2020

Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict … significantly over time, even at short horizons over which the momentum phenomenon operates (one year), and that this variation … conditional risk exposure can ex- plain a sizeable fraction of momentum and long-term reversal returns and can be used to generate …

Persistent link: https://www.econbiz.de/10012832984

Sentiment and uncertainty

Birru, Justin; Young, Trevor - 2020

Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four...

Persistent link: https://www.econbiz.de/10012216707

Asset Pricing Model Estimation Errors During Rational and Irrational Investor Behavior Periods

Marsh, Michael G. - 2020

This paper examines the prediction that human behavior changes the outcome of market predictability, indicated by a difference in asset pricing model estimated prediction error, calculated using the Sharpe ratio, Jensen's alpha, and the Treynor measure for publicly traded firms in the consumer...

Persistent link: https://www.econbiz.de/10012847530

From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors

Kruttli, Mathias S. - 2020

This paper analyzes whether consumption-based asset pricing models improve the equity premium forecasts of a hypothetical investor with access to these models from 1947 onwards. The investor imposes economic constraints derived from asset pricing models as model-based priors on predictive...

Persistent link: https://www.econbiz.de/10012856784

Disentangling anomalies : risk versus mispricing

Birru, Justin; Mohrschladt, Hannes; Young, Trevor - 2020

Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower average returns. Because speculative stocks overlap with stocks deemed risky by rational models, failing to control for exposure to systematic mispricing can bias tests of...

Persistent link: https://www.econbiz.de/10012388392

A Critique of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm

Otuteye, Eben - 2017

concepts in both academic and professional curricula. In spite of their long history and reputation, the CAPM and its …

Persistent link: https://www.econbiz.de/10012948474

Re-Evaluating the Value of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm

Otuteye, Eben - 2017

in both academic and professional curricula. In spite of their long history and reputation, the CAPM and its extensions …

Persistent link: https://www.econbiz.de/10012954957

A Security Market Plane Approach to Stock Selection

Ferguson, Robert - 2018

Because dividends are taxed at a higher rate than capital gains, as stock with a higher yields should have a higher expected return than a stock whose return is expected to result mostly from price appreciation. Adding yield to the traditional Security Market Line results in a "market plane"...

Persistent link: https://www.econbiz.de/10012928355

Long-run heterogeneity in an exchange economy with fixed-mix traders

Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015

We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...

Persistent link: https://www.econbiz.de/10011386757

Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market

Schasfoort, Joeri; Stockermans, Christopher - 2017

between a simple momentum and mean reversion strategy depending on its relative profitability. Technical traders use the price …

Persistent link: https://www.econbiz.de/10011723700