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Momentum trading, return chasing, and predictable crashes
Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 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/10011460679
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Momentum trading, return chasing, and predictable crashes
Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 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/10010442553
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Momentum trading, return chasing, and predictable chrashes
Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014
Persistent link: https://www.econbiz.de/10010440192
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Momentum trading, return chasing, and predictable crashes
Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014
Persistent link: https://www.econbiz.de/10010441388
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Unit-root tests and the statistical pitfalls of seasonal adjustment : the case of US postwar real gross national product
Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 8 (1990) 2, pp. 145-152
Persistent link: https://www.econbiz.de/10001086822
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Does product market competition reduce agency costs?
Jagannathan, Ravi; Srinivasan, Shaker B. - In: The North American journal of economics and finance : a … 10 (1999) 2, pp. 387-399
Persistent link: https://www.econbiz.de/10001508340
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Does product market competition reduce agency costs?
Jagannathan, Ravi; Srinivasan, Shaker B. - 2000
Persistent link: https://www.econbiz.de/10001440676
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Valuing the reload features of executive stock options
Huddart{{}}, Steven; Jagannathan, Ravi; Saly, Jane - 1999
Persistent link: https://www.econbiz.de/10001376937
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A contingent claim approach to performance evaluation
Glosten, Lawrence R. - In: Journal of empirical finance 1 (1993) 2, pp. 133-160
Persistent link: https://www.econbiz.de/10001158658
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Seasonalities in security returns : the case of earnings announcements
Chari, Varadarajan V. - In: Journal of financial economics 1 (1988), pp. 101-121
Persistent link: https://www.econbiz.de/10001051358