Journal of Finance
1952 1956 1957 1959 1962 1964 1968 1969 1970 1972 1973 1974 1975 1976 1977 1978 1979 1980 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007
Опубликовано на портале: 02-11-2007
Chris I. Telmer
Journal of Finance.
1993.
Vol. 48.
No. 5.
P. 1803-32.
The representative agent theory of asset pricing is modified to incorporate heterogeneous agents and incomplete markets. The model features two types of agents who differ up to a nontradable, idiosyncratic component in their endowment processes. Numerical solutions indicate that individuals are able to diversify a substantial portion of their idiosyncratic income risk through riskless borrowing and lending alone. Restrictions on the variability of intertemporal marginal rates of substitution are used to argue that incomplete markets, as modeled here, cannot account for the properties of asset returns that are anomalous from the perspective of representative agent theory
Опубликовано на портале: 03-12-2007
Narasimhan Jegadeesh, Sheridan Titman
Journal of Finance.
1993.
Vol. 48.
No. 1.
P. 65-91.
This paper documents that strategies which buy stocks that have performed well in
the past and sell stocks that have performed poorly in the past generate significant
positive returns over 3- to 12-month holding periods. We find that the profitability
of these strategies are not due to their systematic risk or to delayed stock price
reactions to common factors. However, part of the abnormal returns generated in the
first year after portfolio formation dissipates in the following two years. A similar
pattern of returns around the earnings announcements of past winners and losers is
also documented
|
|