Meeting on 10/1/17 at 1pm, San Francisco

Our next meeting is scheduled for 10/1/17 (Sunday) at 1pm in San Francisco on the 2nd floor lounge of the Marriott Marquis (780 Mission Street).  See here for more information about the venue. Once you enter the hotel, go to the 2nd floor using the escalator and you will see a lounge with sofas and tables. Feel free to send an email if you have trouble finding it.

We will be having a discussion on asset pricing with liquidity premia. See here for paper.

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Asset pricing with liquidity risk

Abstract. This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidity adjusted capital asset pricing model, a security’s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security’s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity.

“Asset pricing with liquidity risk.” Viral V. Acharya, Lasse Heje Pedersen, London Business School, Regent’s Park, London, NW1 4SA, UK, June 2004  See here.

Meeting on 9/17/17 at 10am, San Francisco

Our next meeting is scheduled for 9/17/17 (Sunday) at 10 am in San Francisco on the 2nd floor lounge of the Marriott Marquis (780 Mission Street).  See here for more information about the venue. Once you enter the hotel, go to the 2nd floor using the escalator and you will see a lounge with sofas and tables. Feel free to send an email if you have trouble finding it.

We will be having a discussion on combined momentum and mean reversion strategies. See here for paper.

Momentum and mean reversion across national equity markets

From the abstract:

“Numerous studies have separately identified mean reversion and momentum. This paper considers these effects jointly. Our empirical model assumes that only global equity price index shocks can have permanent components. This is motivated in a production-based asset pricing context, given that production levels converge across developed countries. Combination momentum-contrarian strategies, used to select from among 18 developed equity markets at a monthly frequency, outperform both pure momentum and pure contrarian strategies. The results continue to hold after corrections for factor sensitivities and transaction costs. They reveal the importance of controlling for mean reversion in exploiting momentum and vice versa.”

“Momentum and mean reversion across national equity markets.” Ronald J. Balvers, Yangru Wu, 2005.

See paper here.