The existence of reversals and momentum in equity returns has challenged proponents of efficient markets for over 30 … years. Although explanations for momentum profits based on cross-sectional mean return dispersion have been proposed … apparent momentum when there is, in fact, none. This biased implementation of the Fama-MacBeth procedure has found its way into …

the S&P 500 at the end of each month in real time, using rolling windows of size 60. Statistically significant evidence … against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing … research for their resolution. This bubble theory also applies equally well to understanding discounts and premiums on exchange …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … return predictability, generating both reversal and momentum …

This paper offers theoretical, empirical, and simulated evidence that momentum regularities in asset prices are not … in the loser portfolios after (large) increases in the price of risk. Hence, the risk of momentum portfolios usually … of risk (and the market premium) theoretically truncated at zero. The best linear (CAPM) function describing this …

to explain the size, value, and momentum anomalies. We further show that high-frequency betas provide more accurate …When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … on daily data, the model works reasonably well for a recent sample period. However, it fails to explain the size anomaly …

-standard beta estimation procedure drive results presented as evidence supporting its underlying theory …

firm size and stock correlation. Excluding micro-cap stocks, the performance of BAC shrinks more than that of BAB. Overall …