| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8744 |
| 来源ID | Working Paper 8744 |
| What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns? | |
| Mark Grinblatt; Tobias J. Moskowitz | |
| 发表日期 | 2002-01-24 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Multihorizon temporal relationships between stock returns are complex due to confounding sources of return premia, microstructure effects, and changes in the relationship over various horizons. We find the relation to be further complicated by the sign and consistency of the past return that also varies, somewhat sensibly, with the season and the tax environment. Accounting for these additional effects using a parsimonious technical trading rule generates surprisingly large abnormal returns, despite controlling for microstructure effects, transaction costs, and data-snooping biases. The documented variation in profits across stock characteristics, season, and tax environment appear inconsistent with existing theory, but may point to future explanations for the relation between past and expected returns. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w8744 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566351 |
| 推荐引用方式 GB/T 7714 | Mark Grinblatt,Tobias J. Moskowitz. What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8744.pdf（386KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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