SSRN Author: Satadru HoreSatadru Hore SSRN Content
http://www.ssrn.com/author=853386
http://www.ssrn.com/rss/en-usWed, 10 Aug 2016 01:42:56 GMTeditor@ssrn.com (Editor)Wed, 10 Aug 2016 01:42:56 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Cross-Sectional Factor Dynamics and Momentum ReturnsWe develop a structural model where joint dynamics of aggregate consumption and asset-specific dividends are governed by correlated state-variables. The correlation structure implies distinct cross-sectional exposures of dividends to long history of consumption growth rates, resulting in variation of consumption beta. Such variation rationalizes momentum crashes per Daniel and Moskowitz (2015), as Winner's consumption beta remains low after the economy recovers from a downturn, while Loser's consumption beta grows quickly. Emerging from a recession, the momentum strategy thus reduces in consumption beta and risk-premia. Variation in beta also explains tendency of momentum to concentrate in stocks with particular styles.
http://www.ssrn.com/abstract=2679656
http://www.ssrn.com/1518193.htmlTue, 09 Aug 2016 01:59:47 GMTREVISION: Cross-Sectional Factor Dynamics and Momentum ReturnsThis paper proposes and implements an inter-temporal model wherein aggregate consumption and asset-specific dividend growths jointly move with two mean-reverting state variables. Consumption beta varies through time and cross sectionally due to variation in half-lives and stationary volatilities of the dividend signals. Winner (Loser) stocks exhibit high (low) halflives and stationary volatilities, and thus exhibit high (low) consumption beta commanding high (low) risk-premium. The model also rationalizes the “momentum crashes” phenomenon discussed in Daniel and Moskowitz (2014). High half-lives of dividend signals in Winners keep their consumption betas low long after recovering from a prolonged economic downturn, while low half-lives in Losers make their consumption betas grow rather quickly. Thus, coming out of a recession, the long Winner/short Loser strategy reduces in consumption beta and, hence, risk-premia.
http://www.ssrn.com/abstract=2679656
http://www.ssrn.com/1439481.htmlTue, 27 Oct 2015 03:21:03 GMT