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Are Firms in "Boring" Industries Worth Less?
Chen, Jia; Hou, Kewei; Stulz, René M. - National Bureau of Economic Research (NBER) - 2015
Using theories from the behavioral finance literature to predict that investors are attracted to industries with more salient outcomes and that therefore firms in such industries have higher valuations, we find that firms in industries that have high industry-level dispersion of profitability...
Persistent link: https://www.econbiz.de/10011133503
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Momentum Trading, Return Chasing, and Predictable Crashes
Ghysels, Eric; Jagannathan, Ravi; Chabot, Benjamin - National Bureau of Economic Research (NBER) - 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/10011096567
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A Taxonomy of Anomalies and their Trading Costs
Novy-Marx, Robert; Velikov, Mihail - National Bureau of Economic Research (NBER) - 2014
This paper studies the performance of a large number of anomalies after accounting for transaction costs, and the effectiveness of several transaction cost mitigation strategies. It finds that introducing a buy/hold spread, which allows investors to continue to hold stocks that they would not...
Persistent link: https://www.econbiz.de/10011096569
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High-frequency, Algorithmic Spillovers Between NASDAQ and Forex
Ito, Takatoshi; Yamada, Masahiro - National Bureau of Economic Research (NBER) - 2015
We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...
Persistent link: https://www.econbiz.de/10011266645
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A Welfare Criterion for Models with Distorted Beliefs
Brunnermeier, Markus K.; Xiong, Wei; Simsek, Alp - National Bureau of Economic Research (NBER) - 2014
This paper proposes a welfare criterion for economies in which agents have heterogeneously distorted beliefs. Instead of taking a stand on whose belief is correct, our criterion asserts that an allocation is belief-neutral efficient (inefficient) if it is efficient (inefficient) under any convex...
Persistent link: https://www.econbiz.de/10011079882
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Benchmarks in Search Markets
Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang - National Bureau of Economic Research (NBER) - 2014
improvement in market transparency caused by benchmarks may lower dealer profit margins on each trade, dealers may nevertheless …
Persistent link: https://www.econbiz.de/10011093758
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The CAPM Strikes Back? An Investment Model with Disasters
Zhang, Lu; Bai, Hang; Hou, Kewei; Kung, Howard - National Bureau of Economic Research (NBER) - 2015
Value stocks are more exposed to disaster risk than growth stocks. Embedding disasters into an investment-based asset pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in explaining the value premium in finite samples in...
Persistent link: https://www.econbiz.de/10011201883
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The Dynamics of Financially Constrained Arbitrage
Vayanos, Dimitri; Gromb, Denis - National Bureau of Economic Research (NBER) - 2015
, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that … markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of …
Persistent link: https://www.econbiz.de/10011189087
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The Shorting Premium and Asset Pricing Anomalies
Drechsler, Itamar; Drechsler, Qingyi Freda - National Bureau of Economic Research (NBER) - 2014
Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53%...
Persistent link: https://www.econbiz.de/10010821754
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Expectations of Returns and Expected Returns
Shleifer, Andrei; Greenwood, Robin - National Bureau of Economic Research (NBER) - 2013
We analyze time-series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However,...
Persistent link: https://www.econbiz.de/10010821802