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Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

return predictability, generating both reversal and momentum …

Persistent link: https://www.econbiz.de/10012910534

Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns

Ogden, Joseph P. - 2010

financing, drives the following five asset pricing anomalies: (1) the failure-risk anomaly; (2) earnings momentum; (3) the …

Persistent link: https://www.econbiz.de/10013147129

Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis

Allen, David E. - 2010

In traditional tests of asset pricing theory Ordinary Least Squares (OLS) regression methods are used in empirical …

Persistent link: https://www.econbiz.de/10013151096

Asymmetric Information, Trading Volume, and Portfolio Performance

Jackson, Antony - 2013

In dealership markets, asymmetric information feeds through to higher transaction costs as dealers adjust their bid-ask spreads to compensate for anticipated losses. In this paper, we show that the presence of asymmetric information can also provide a positive externality to those market...

Persistent link: https://www.econbiz.de/10013081590

'Asset Pricing : Realized Return as a Sample of Return' – The Fallacy

Horimoto, Saburo - 2013

If realized return is not the ex-post realization of the ex-ante expectation, can we use average realized return to estimate the expected return? In text books, the authors treat realized return as a sample of return. In this paper, we redefine realized return and the ex-post return, and we...

Persistent link: https://www.econbiz.de/10013089728

Non-Dividend Paying Stocks and the Negative Value Premium

Blazenko, George - 2014

The value premium is the empirical observation that low market/book “value” stocks have higher returns than high market/book “growth” stocks. In this paper, we show that the profitability determined relation between risk and return is distinct for non-dividend paying businesses. High...

Persistent link: https://www.econbiz.de/10013069464

Momentum, the Disposition Effect and Beta

O'Brien, John - 2018

The existence of a premium to momentum portfolios, formed by buying recent winners and selling recent losers is widely … set of explanations, based on prospect theory, specifically the disposition effect. This paper develops a model of stock … price movement based on our interpretation of the disposition effect and demonstrates how momentum is generated under this …

Persistent link: https://www.econbiz.de/10012927420

Fundamental Anomalies

Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021

anomaly. The estimated model generates large and significant size, momentum, profitability, investment, and intangibles …

Persistent link: https://www.econbiz.de/10013245422

The Fading Abnormal Returns of Momentum Strategies

Henker, Thomas - 2009

We find increasingly large variations in returns from momentum strategies in recent years. Momentum strategies did not … 2001-2004. Using sub-samples of smaller capitalization stocks increases momentum portfolio returns and reduces return … volatity. We also evaluate momentum portfolios that are formed prior to the end of month portfolio formation universally used …

Persistent link: https://www.econbiz.de/10013159983

Price impact and portfolio impact

Cvitanić, Jakša; Malamud, Semyon - 2010

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...

Persistent link: https://www.econbiz.de/10003979998