Monthly Archives

August 2019

Student Seminar #9: Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

DateTimePresenterLocation
Sunday, August 11, 2019
(20 Mordad 1398)
12:30 – 13:30Mohammadreza SalehiKhatam University (@ 17 Daneshvar), 7th Floor, Seminar Room

“This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over 3‐to 12‐month holding periods. We find that the profitability of these strategies are not due to their systematic risk or to delayed stock price reactions to common factors. However, part of the abnormal returns generated in the first year after portfolio formation dissipates in the following two years. A similar pattern of returns around the earnings announcements of past winners and losers is also documented.”

Required Reading(s)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

 

Student Seminar #8: The Rate of Return on Everything, 1870–2015

DateTimePresenterLocation
Sunday, August 04, 2019
(13 Mordad 1398)
12:30 – 13:30Vahid RostamKhatam University (@ 17 Daneshvar), 7th Floor, Seminar Room

“What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the long run? Which particular assets have the highest long-run returns? We answer these questions on the basis of a new and comprehensive data set for all major asset classes, including housing. The annual data on total returns for equity, housing, bonds, and bills cover 16 advanced economies from 1870 to 2015, and our new evidence reveals many new findings and puzzles.”

Required Reading(s)The Rate of Return on Everything, 1870-2015