An investment strategy can combine different styles or signals. The simplest approach for combining these signals consists in using a weighting system that does not change over time. However, significant regime switches are not taken into account. This article shows that a dynamic signal...

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

The profit to a standard short-term return reversal strategy can be decomposed analytically into four components: 1) across-industry return momentum, 2) within-industry variation in expected returns, 3) under-reaction to within-industry cash flow news, and 4) a residual. Only the residual...

This study focuses on the background and relationship of asset pricing, optimal portfolios and efficient portfolio frontiers. This has been discussed in light of multiple crisis; right from the Asian Crisis of 1997, dotcom of 2001 till the financial crisis of 2008. This study tracks the changes...

We develop an equilibrium model for residential housing transactions in an economy with houses that differ in their quality and households that differ in their planned holding horizon. We show that, in equilibrium, clientele effect persists, with long-horizon buyers overwhelmingly choosing...

This paper reconsiders the predictions of the standard option pricing models in the context of incomplete markets. We relax the completeness assumption of the Black-Scholes (1973) model and as an immediate consequence we can no longer construct a replicating portfolio to price the option....

This Appendix comprises proofs of propositions and lemmas in the main paper.The paper "Asset Pricing Frictions in Fragmented Markets" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2188687" http://ssrn.com/abstract=2188687

We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...

We construct a model for liquidity risk and price impacts in a limit order book setting with depth, resilience and tightness. We derive a wealth equation and a characterization of illiquidity costs. We show that we can separate liquidity costs due to depth and resilience from those related to...