Infrequent Rebalancing, Return Autocorrelation, and Seasonality

• 成果类型: Article
• 署名作者: Bogousslavsky, Vincent
• 署名单位: Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12436
• 发表日期: 2016
• 页码: 2967-3006
• 关键词: OPTIMAL INATTENTION; INTRADAY PATTERNS; Price volatility; cross-section; asset prices; stock-market; INFORMATION; BEHAVIOR; MODEL; equilibrium

摘要

A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday returns and new evidence from daily returns. Autocorrelations can switch sign and become positive at the rebalancing horizon. Second, the cross-sectional variance in expected returns is larger when more traders rebalance. This effect generates seasonality in the cross-section of stock returns, which can help explain available empirical evidence.