We use pre-World War I Brussels Stock Exchange (BSE) data to investigate the relation between average stock returns and market beta, size, momentum, dividend yield and total risk on the cross-section of stock returns. Based on portfolio sorts and Fama–MacBeth regressions, we find no...

Barberis and Shleifer (2003) argue that style investing generates momentum and reversals in style and individual asset returns, as well as comovement between individual assets and their styles. Consistent with these predictions, in some specifications, past style returns help explain future...

Some recent studies of conditional factor models do not specify conditioning information but use data from small windows to estimate the time series of conditional alphas and betas. In this paper, we propose a nonparametric method using an optimal window to estimate time-varying coefficients. In...

Our paper makes two empirical contributions on REITs’ asset pricing over three sequential and mutually exclusive time periods. The first yields the beta estimates of (i) assets, (ii) growth options and (iii) assets-in-place, embedded in the valuations of REITs. We develop a new approach to...

We first provide a cleaner and comprehensive out-of-sample test of three competing asset-pricing models. Our results suggest that the value and momentum factors have pervasive pricing power. Motivated by Garlappi and Yan (2011), we then examine if there is a unifying risk-based explanation for...

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

This paper analyzes the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to twelve months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the...

The rate of information diffusion and, consequently, price discovery are conditional not only upon the design of the market microstructure but also the informational structure. This paper presents a market microstructure model showing that an increasing number of information hierarchies among...

This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and equities. The data cover the period 1995–2012...

We present empirical evidence using daily data for stock prices for 17 real estate companies traded in the Sao Paulo, Brazil stock exchange, from August 26, 2006 to March 31, 2010. We use the U.S. house price bubble, financial crisis and risk measures to instrument for momentums and reversals in...