Journal of Finance
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Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies [статья]
Опубликовано на портале: 03-12-2007Ronald Balvers, Yangru Wu, Eric Gilliland Journal of Finance. 2000. Vol. 55. No. 2. P. 745-772.
For U.S. stock prices, evidence of mean reversion over long horizons is mixed, possibly due to lack of a reliable long time series. Using additional cross-sectional power gained from national stock index data of 18 countries during the period 1969 to 1996, we find strong evidence of mean reversion in relative stock index prices. Our findings imply a significantly positive speed of reversion with a half-life of three to three and one-half years. This result is robust to alternative specifications and data. Parametric contrarian investment strategies that fully exploit mean reversion across national indexes outperform buy-and-hold and standard contrarian strategies
Price Momentum and Trading Volume [статья]
Опубликовано на портале: 02-11-2007Charles M.C. Lee, Bhaskaran Swaminathan Journal of Finance. 2000. Vol. 55. No. 5. P. 2017-2069.
This study shows that past trading volume provides an important link between ‘momentum’ and ‘value’ strategies. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects reverse over the next five years, and high (low) volume winners (losers) experience faster reversals. Collectively, our findings show that past volume helps to reconcile intermediate-horizon ‘underreaction’ and long-horizon ‘overreaction’ effects
The Dark Side of Internal Capital Markets: Divisional Rent-Seeking and Inefficient Investment. [статья]
Опубликовано на портале: 05-06-2006David S. Scharfstein, Jeremy C. Stein Journal of Finance. 2000. Vol. 55. No. 6. P. 2537-2565.
We develop a two-tiered agency model that shows how rent-seeking behavior on the part of division managers can subvert the workings of an internal capital market. By rent-seeking, division managers can raise their bargaining power and extract greater overall compensation from the CEO. And because the CEO is herself an agent of outside investors, this extra compensation may take the form not of cash wages, but rather of preferential capital budgeting allocations. One interesting feature of our model is that it implies a kind of "socialism" in internal capital allocation, whereby weaker divisions get subsidized by stronger ones.