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de Oliveira Souza, Thiago - 2019

This paper offers theoretical, empirical, and simulated evidence that momentum regularities in asset prices are not anomalies. Within a general, frictionless, rational expectations, risk-based asset pricing framework, riskier assets tend to be in the loser portfolios after (large) increases in...

Persistent link: https://www.econbiz.de/10012891770

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.e. repurchases and issues). Following the market timing framework, we develop a two-factor asset pricing model comprising a “market” and a “mispricing” factor, which is able...

Persistent link: https://www.econbiz.de/10013005248

A Critique of Momentum Anomalies

de Oliveira Souza, Thiago - 2020

This paper is the second in a series of critiques of the assumption that stable economic relations exist between certain "firm characteristics" and expected returns. The paper explains why this is not the case for past returns and provides theoretical, empirical, and simulated evidence that the...

Persistent link: https://www.econbiz.de/10012851651

Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

Persistent link: https://www.econbiz.de/10013334839

Investor Sentiment, Style Investing, and Momentum

Ashour, Samar; Hao, Grace Qing; Harper, Adam - 2022

Investor sentiment is an important condition for style investing in affecting asset price predictability. We find that style returns have predictive power for future stock returns in high sentiment periods, but not low sentiment periods. The correlation between style returns and stock returns...

Persistent link: https://www.econbiz.de/10013406274

Multi-Asset Seasonality and Trend-Following Strategies

Baltas, Nick - 2016

This paper investigates the seasonality patterns within various asset classes. We find that a strategy that buys the assets with the largest same-calendar-month past average returns (up to ten years) and sells the assets with the smallest same-calendar-month past average returns, earns...

Persistent link: https://www.econbiz.de/10013002295

Limits of Arbitrage and Primary Risk Taking in Derivative Securities

Tian, Meng; Wu, Liuren - 2021

Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as … reducing the risk in derivative investments, the remaining risk can still be large and significant due to practical limits of … arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand …

Persistent link: https://www.econbiz.de/10013244989

Derivatives WMD, Liability Driven Investment Strategies LDI, the UK Gilt Market Crisis and Pension Fund Collapse Risk

Macey-Dare, Rupert - 2022

” transactions, where the value of the bonds that pension funds owned and could lend out in bond sale and repurchase derivative …

Persistent link: https://www.econbiz.de/10014238873

Momentum in the Indian Equity Markets : Positive Convexity and Positive Alpha

Srivastava, Sonam - 2019

We present effective momentum strategies over the liquid equity futures market in India. We evaluate and determine the persistence of the returns at various look-backs ranging from quarterly and weekly to more granular look-backs. We look at a universe of the liquid equity instruments traded...

Persistent link: https://www.econbiz.de/10012891432

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

Persistent link: https://www.econbiz.de/10014372444

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