Our website will undergo scheduled maintenance on March 6th, 2024. During this time, connection to our website and some of its features may be unavailable. Thank you for your patience, and we apologize for any inconvenience.

Search Results

Showing results 1 to 4 of approximately 4.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Momentum 

Working Paper
Cross-Sectional Factor Dynamics and Momentum Returns

This paper proposes and implements an inter-temporal model wherein aggregate consumption and asset-specific dividend growths jointly move with two mean-reverting state variables. Consumption beta varies through time and cross sectionally due to variation in half-lives and stationary volatilities of the dividend signals. Winner (Loser) stocks exhibit high (low) half-lives and stationary volatilities, and thus exhibit high (low) consumption beta commanding high (low) risk-premium. The model also rationalizes the "momentum crashes" phenomenon discussed in Daniel and Moskowitz (2014). High ...
Supervisory Research and Analysis Working Papers , Paper RPA 15-2

Working Paper
Momentum Trading, Return Chasing and Predictable Crashes

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 three factor alpha of 1 percent per month between 1927 and 2012 and 0.5 percent per month between 1867 and 1907 ? both statistically significantly different from zero. However, the momentum strategy also exposed investors to large losses (crashes) during both periods. Momentum crashes were predictable ? ...
Working Paper Series , Paper WP-2014-27

Working Paper
The Performance of International Equity Portfolios

This paper evaluates the performance of U.S. investors' portfolios in the equities of over 40 countries over a 25-year period. We find that these portfolios achieved a significantly higher Sharpe ratio than foreign benchmarks, especially since 1990. We uncover three potential reasons for this success. First, U.S. investors abstained from momentum trading and instead sold past winners. Second, conditional performance tests provide no evidence that the superior (unconditional) performance owed to private information, suggesting that the successful exploitation of publicly available information ...
International Finance Discussion Papers , Paper 817

Working Paper
Retail Investors’ Contrarian Behavior Around News, Attention, and the Momentum Effect

Using a large panel of U.S. brokerage accounts trades and positions, we show that a large fraction of retail investors trade as contrarians after large earnings surprises, especially for loser stocks, and that such contrarian trading contributes to post earnings announcement drift (PEAD) and price momentum. Indeed, when we double-sort by momentum portfolios and retail trading flows, PEAD and momentum are only present in the top two quintiles of retail trading intensity. Finer sorts confirm the results, as do sorts by firm size and institutional ownership level. We show that the investors in ...
Working Paper Series , Paper WP 2023-34

FILTER BY year

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

G12 3 items

G11 2 items

C32 1 items

F21 1 items

G1 1 items

G14 1 items

show more (3)

FILTER BY Keywords

Momentum 4 items

Contrarian 2 items

Bayesian Filtering 1 items

Bonds 1 items

Conditional performance measures 1 items

Cross-Sectional Dynamics 1 items

show more (7)

PREVIOUS / NEXT