Narrow search
Showing 1 - 10 of 226
Cover Image
Riding the Bubble? Chasing Returns into Illiquid Assets
Yagan, Danny - 2014
Household investors chase stock market returns. Surveys suggest that households intend to "ride the bubble" by buying stocks early in a boom and selling stocks early in a bust. This implies that households use only liquid assets to chase returns. I test this prediction using inflows to fixed...
Persistent link: https://www.econbiz.de/10012458307
Cover Image
Speculative Betas
Hong, Harrison - 2012
We provide a model for why high beta assets are more prone to speculative overpricing than low beta ones. When investors disagree about the common factor of cash-flows, high beta assets are more sensitive to this macro-disagreement and experience a greater divergence-of-opinion about their...
Persistent link: https://www.econbiz.de/10012460112
Cover Image
New Evidence on the First Financial Bubble
Frehen, Rik G.P. - 2009
these linked bubbles primarily focus on the irrationality of investor speculation and the corresponding stock price behavior … examine a broad cross-section of security price data to evaluate the causes of the bubbles. Using newly collected stock prices … in 1720. Our findings are consistent with the hypothesis that financial bubbles require a plausible story to justify …
Persistent link: https://www.econbiz.de/10012463318
Cover Image
Long-term Memory in Stock Market Prices
Lo, Andrew W. - 1989
A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant asymptotic sampling theory is derived via functional central limit theory. This test is applied to...
Persistent link: https://www.econbiz.de/10012476064
Cover Image
Multifrequency News and Stock Returns
Calvet, Laurent E. - 2005
Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. Building on these insights, we introduce a parsimonious equilibrium model in which regime-shifts of heterogeneous durations affect the volatility of...
Persistent link: https://www.econbiz.de/10012467238
Cover Image
What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?
Grinblatt, Mark - 2002
Multihorizon temporal relationships between stock returns are complex due to confounding sources of return premia, microstructure effects, and changes in the relationship over various horizons. We find the relation to be further complicated by the sign and consistency of the past return that...
Persistent link: https://www.econbiz.de/10012469971
Cover Image
Common Factors in Return Seasonalities
Keloharju, Matti - 2014
A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, international stock market indices, and at the daily frequency. The seasonalities overwhelm...
Persistent link: https://www.econbiz.de/10012457851
Cover Image
The Rest of the World's Dollar-Weighted Return on U.S. Treasurys
Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - National Bureau of Economic Research - 2022
Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic...
Persistent link: https://www.econbiz.de/10013210117
Cover Image
The Really Long-Run Performance of Initial Public Offerings : The Pre-NASDAQ Evidence
Gompers, Paul A. - 2001
Financial economists in recent years have closely examined and intensely debated the performance of initial public offerings using data after the formation of NASDAQ. The paper seeks to shed light on this controversy by undertaking a large, out-of-sample study: we examine the performance for up...
Persistent link: https://www.econbiz.de/10012470213
Cover Image
Stock Return Predictability : Is it There?
Ang, Andrew - 2001
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as...
Persistent link: https://www.econbiz.de/10012470517