Learn More
Buying recent winners and shorting recent losers guarantees time varying factor exposures in accordance with the performance of common risk factors during the ranking period. Adjusted for this dynamic risk exposure, momentum profits are remarkably stable across subperiods of the entire post 1926 era. Factor models can explain ninety-five percent of winner(More)
We study the relation between market returns and aggregate flow into U.S. equity funds, using daily flow data. The concurrent daily relation is positive. Our tests show that this concurrent relation reflects flow and institutional trading affecting returns. This daily relation is similar in magnitude to the price impact reported for an individual(More)
This paper documents a strong relationship between short-run reversals and stock illiquidity, even after controlling for trading volume. The largest reversals and the potential contrarian trading strategy profits occur in high turnover, low liquidity stocks, as the price pressures caused by non-informational demands for immediacy are accommodated. However,(More)
Genetic male sterility (GMS) in cotton mediated by two homozygous recessive genes, ms5ms5 and ms6ms6, is expressed as non-dehiscent anthers and unviable pollen grains. Sequence analysis on ms5 and ms6 loci in Gossypium hirsutum was conducted to reveal genomic variation at these two loci between GMS and wild-type G. hirsutum inbred lines, and sequence(More)
Shane Underwood Rice University October 2004 In this paper I find strong evidence that aggregate order flow in the U.S. equity and Treasury markets can help to explain returns in the other market, even after controlling for own-market order flow. The direction and magnitude of the cross-market order flow-return relation varies through time, and is related(More)
This paper documents a new debt related investment distortion. Using detailed project level data in the Oil and Gas industry, we find that highly levered firms pull forward investment, completing projects early at the expense of long run project returns and project value. This behavior is particularly pronounced prior to debt renegotiations. We test several(More)
I test conditional implications of linear asset pricing models in which variables reflecting changing composition of total wealth capture time-variation in the consumption risk exposures of asset returns. I estimate conditional moments of returns and factor risk prices nonparametrically and show that while the consumption risk of value stocks does increase(More)
  • 1