Redundant Information and Predictable Returns
نویسندگان
چکیده
منابع مشابه
Sunspots and predictable asset returns
This paper uses a stylised asset-pricing model to show that sunspots may cause asset returns to be predictable, a widely documented feature of many speculative markets. This result parallels and extends previous works showing that sunspots render asset prices excessively volatile. Journal of Economic Literature Classi cation Numbers: D84, E44, G12
متن کاملOverconfident Investors, Predictable Returns, and Excessive Trading
T he last several decades have witnessed a shift away from a fully rational paradigm of financial markets towards one in which investor behavior is influenced by psychological biases. Two principal factors have contributed to this evolution: a body of evidence showing how psychological bias affects the behavior of economic actors; and an accumulation of evidence that is hard to reconcile with f...
متن کاملIs the Distribution of Stock Returns Predictable?∗
A large literature has considered predictability of the mean or volatility of stock returns but little is known about whether the distribution of stock returns more generally is predictable. We explore this issue in a quantile regression framework and consider whether a range of economic state variables are helpful in predicting different quantiles of stock returns representing left tails, righ...
متن کاملInnovation Search Strategy and Predictable Returns: A Bias for Novelty
Because of the intangible and highly uncertain nature of innovation, investors may have difficulty processing information associated with a firm’s innovation and innovation search strategy. Due to cognitive and strategic biases, investors are likely to pay more attention to novel and explorative patents rather than incremental and exploitative patents. We find that firms focusing on exploitatio...
متن کاملDynamic Trading with Predictable Returns and Transaction Costs
We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current aim. Specifically, the optimal updated portfolio is a linear combination of the existing portfolio an...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3077721