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The Time Contradiction (in Asset Management and Asset Pricing) Between Investor Decision Horizons and Time Needed to Establish Skill
Muralidhar, Arun - 2017
much time does one need to establish a successful investment outcome as opposed to just experiencing noise? A simple … suggests that the time window to have high confidence in the efficacy of the approach utilized by most investors is much … greater than the typical horizon of these approaches – this is the time contradiction in investments. Alternatively, for a …
Persistent link: https://www.econbiz.de/10012971837
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Value, Momentum and Market Timing
Filippou, Ilias - 2016
We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i … time-variation of the strategies providing a unique explanation for momentum crashes …
Persistent link: https://www.econbiz.de/10013005248
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Tactical Timing of Low Volatility Equity Strategies
De Boer, Sanne - 2014
Many investors we speak to are interested in making a strategic allocation to low volatility equities to help them better meet their investment objectives. The appeal of this strategy is clear. Low volatility stocks have historically delivered higher returns with lower risk than the...
Persistent link: https://www.econbiz.de/10013047895
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Diversification Decisions of Individual Investors and Asset Prices
Kumar, Alok - 2022
This paper examines the relation between equity portfolio diversification choices of individual investors and stock … diversification clientele based portfolios can explain cross-sectional variations in returns for a considerable subset of stocks. The … diversification choices of individual investors influence stock returns …
Persistent link: https://www.econbiz.de/10014236135
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Of Leaders and Followers - An Econometric Analysis of Equity Analysts and Stock Market Investors
Baule, Rainer - 2020
We measure the information content of monthly analyst consensus forecasts for one-year-forward earnings per share (EPS) based on two well-established price discovery measures drawn from the area of market micro-structure research. Employing a 36-year sample of large US companies listed in the...
Persistent link: https://www.econbiz.de/10012855551
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Simple and Effective Market Timing with Tactical Asset Allocation
Glenn, Lewis A. - 2014
A simple market timing algorithm is examined that switches from an exchange traded fund representing U. S. equities to one holding treasury long bonds every month on the last day, the switch being made to whichever ETF has the greatest ratio of current adjusted closing price to adjusted closing...
Persistent link: https://www.econbiz.de/10013053979
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Momentum Without Crashes
Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022
We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the first and last price points of the window. The weighting scheme is derived from the...
Persistent link: https://www.econbiz.de/10014236192
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Should Investors Learn About the Timing of Equity Risk?
Hasler, Michael - 2020
The term structure of equity risk has been shown to be downward sloping. We capture this feature using return dynamics driven by both a transitory and a permanent component. We study the asset allocation and portfolio performance when transitory and permanent components cannot be observed and...
Persistent link: https://www.econbiz.de/10012835339
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By the Light of Day : The Effect of the Switch to Winter Time on Stock Markets
Mugerman, Yevgeny - 2019
We studied the effect of the end of Daylight Saving Time (DST) on stock markets around the globe. Using a detailed … returns accompanying the switch to winter time. We found (a) no association between market returns and stock market geographic …
Persistent link: https://www.econbiz.de/10012898101
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It Takes Two To Misprice : Investor Horizons and Earnings Announcements
Parsa, Sahar - 2017
I study how investor horizons affect the price reaction of the stocks to earnings announcements. In the theory, short-run investors trade frequently, while long-run traders hold and trade on fundamentals. The model predicts that the reaction to an earnings announcement is shifted downward for...
Persistent link: https://www.econbiz.de/10012946248