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Dividend dynamics, learning, and expected stock index returns

Jagannathan, Ravi; Liu, Binying - 2015

Persistent link: https://www.econbiz.de/10011350108

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Berk, Jonathan B.; Binsbergen, Jules H. van; Liu, Binying - 2014

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Matching capital and labor

Berk, Jonathan B.; Binsbergen, Jules H. van; Liu, Binying - 2014

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Berk, Jonathan B.; Binsbergen, Jules H. van; Liu, Binying - In: The journal of finance : the journal of the American … 72 (2017) 6, pp. 2467-2504

Persistent link: https://www.econbiz.de/10012159928

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