作者：Cagetti, M; Hansen, LP; Sargent, T; Williams, N
作者单位：University of Chicago; University of Virginia; Stanford University; Princeton University
摘要：We study how decision-makers' concerns about robustness affect prices and quantities in a stochastic growth model. In the model economy, growth rates in technology are altered by infrequent large shocks and continuous small shocks. An investor observes movements in the technology level but cannot perfectly distinguish their sources. Instead the investor solves a signal extraction problem. We depart from most of the macroeconomics and finance literature by presuming that the investor treats the...
作者：Titman, S
作者单位：University of Texas System; University of Texas Austin
作者：Daniel, K
作者单位：Northwestern University; National Bureau of Economic Research
作者：Lewellen, J
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This article studies momentum in stock returns, focusing on the role of industry, size, and book-to-market (B/M) factors. Size and B/M portfolios exhibit momentum as strong as that in individual stocks and industries. The size and B/M portfolios are well diversified, so momentum cannot be attributed to firm- or industry-specific returns. Further, industry, size, and B/M portfolios are negatively autocorrelated and cross-serially correlated over intermediate horizons. The evidence suggests that...
