Rethinking reversals

• 成果类型: Article
• 署名作者: Johnson, Timothy C.
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.01.026
• 发表日期: 2016
• 页码: 211-228
• 关键词: Stock market autocorrelation; peer effects; DISAGREEMENT

摘要

High-frequency reversals are an economically important characteristic of the returns to tradeable claims to the market portfolio. This paper demonstrates that short-horizon negative autocorrelation can arise in a tractable model of agents with tournament-type preferences. Intuitively, investors act as if they are averse to missing out on a trend, causing the risk premium to move strongly counter to realized returns. The model features fully rationalizing agents, complete markets, and no exogenous transaction demand. Plausible parameterizations can match the autocorrelation in the data. Supporting evidence on novel first and second moment implications is presented. (C) 2016 Elsevier B.V. All rights reserved.