Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/203057 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
LEM Working Paper Series No. 2018/04
Verlag: 
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM), Pisa
Zusammenfassung: 
This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their beliefs. Provided beliefs, and thus portfolios, are sufficiently diversified, all investors survive in the long-run and, due to waves of mispricing, the resulting equilibrium returns exhibit long-term reversal. If, moreover, asset dividends are positively correlated, investors' profitable trades become positively correlated too, thus generating short-term momentum in equilibrium returns. We use the model to replicate the performance of the Winners and Losers portfolios highlighted by the empirical literature and to provide insights on how to improve upon them. Finally, we show that dividend positive autocorrelation is positively related to momentum and negatively related to reversal while diversity of beliefs is positively related to both momentum and reversal.
Schlagwörter: 
Market Efficiency
Heterogeneous Beliefs
Speculation
Short-term Momentum
Long-term Reversal
JEL: 
C60
D53
G02
G12
G14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
916.67 kB





Publikationen in EconStor sind urheberrechtlich geschützt.