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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
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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/10010442553
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Momentum trading, return chasing, and predictable chrashes
Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014
Persistent link: https://www.econbiz.de/10010440192
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Momentum trading, return chasing, and predictable crashes
Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014
Persistent link: https://www.econbiz.de/10010441388
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Unit-root tests and the statistical pitfalls of seasonal adjustment : the case of US postwar real gross national product
Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 8 (1990) 2, pp. 145-152
Persistent link: https://www.econbiz.de/10001086822
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Informed trading, liquidity provision, and stock selection by mutual funds
Da, Zhi; Gao, Pengjie; Jagannathan, Ravi - 2008
Persistent link: https://www.econbiz.de/10003793423
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Jackknife estimator for tracking error variance of optimal portfolios
Basak, Gopal Krishna; Jagannathan, Ravi; Ma, Tongshu - In: Management science : journal of the Institute for … 55 (2009) 6, pp. 990-1002
Persistent link: https://www.econbiz.de/10003865939
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Why are we in a recession? : The financial crisis is the symptom not the disease!
Jagannathan, Ravi; Kapoor, Mudit; Schaumburg, Ernst - 2009
Persistent link: https://www.econbiz.de/10003893420
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Why are we in a recession? : the financial crisis is the symptom not the disease!
Jagannathan, Ravi; Kapoor, Mudit; Schaumburg, Ernst - 2009
Persistent link: https://www.econbiz.de/10003899119
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Informed trading, liquidity provision, and stock selection by mutual funds
Da, Zhi; Gao, Pengjie; Jagannathan, Ravi - 2007
Persistent link: https://www.econbiz.de/10003606472