Journal of Finance
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Asset Pricing at the Millennium [статья]
Опубликовано на портале: 22-06-2006John Y. Campbell Journal of Finance. 2000. Vol. 55. No. 4. P. 1515-1567.
This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and on the tradeoff between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the economy. The behavior of the term structure of real interest rates restricts the conditional mean of the SDF, while patterns of risk premia restrict its conditional volatility and factor structure. Stylized facts about interest rates, aggregate stock prices, and cross-sectional patterns in stock returns have stimulated new research on optimal portfolio choice, intertemporal equilibrium models, and behavioral finance.
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