In recent years, several researchers have argued that the stock market consistently overreacts to new information, which, in turn, results in price reversals. B. N. Lehmann (1990) and others showed that a contrarian can make substantial profits in the short run by simply buying losers and...

This article develops and estimates a simple model for monthly expected stock returns that relies on the rapidly decaying structure of shorter-horizon (weekly) expected returns. The most striking aspect of our findings is that the rapid mean reversion in short-horizon expected returns implies...

This article characterizes the stochastic behavior of expected retu rns on common stocks. The authors assume market efficiency and postulate an autoregressive process for conditional expected returns. They use weekly returns of ten size-based portfolios over the 1962-8 5 period and find that (1)...

We show that there is an asymmetry in the predictability of the volatilities of large versus small firms. Using both univariate and multivariate ARMA-GARCH-M parameterizations, we find that volatility surprises to large market value firms are important to the future dynamics of their own returns...