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- Kent D. Daniel, Sheridan Titman
- 2002
We decompose stock returns into components attributable to tangible and intangible information. A firm’s tangible return is the component of its return attributable to fundamental… (More)
This paper offers a model in which asset prices ref lect both covariance risk and misperceptions of firms’ prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected… (More)
- Kent D. Daniel, Sheridan Titman
- 2011
A set of recent papers attempts to explain the size and book-to-market anomalies with conditional CAPM or CCAPM models with economically motivated conditioning variables, or with factor models with… (More)
- Kent D. Daniel
- 2001
The power of mean reversion tests has long been a tacit issue of the market efficiency literature. Early tests of market efficiency, as summarized in Fama Ž . 1970 , found no economically significant… (More)
- Kent D. Daniel, SHERIDAN TITMAN, K. C. John Wei
- 2001
Japanese stock returns are even more closely related to their book-to-market ratios than are their U.S. counterparts, and thus provide a good setting for testing whether the return premia associated… (More)
- Kent D. Daniel, Robert B. Litterman, Gernot Wagner
- 2015
Pricing greenhouse gas emissions is a risk management problem. It involves making trade-offs between consumption today and unknown and potentially catastrophic damages in the (distant) future. The… (More)
Numerous studies have documented the failure of consumption-based pricing models to explain observed patterns in stock and bond returns. This failure has sometimes been attributed to frictions,… (More)
- Kent D. Daniel, Ravi Jagannathan, Soohun
- 2012
Price momentum strategies have historically generated high positive returns with little systematic risk. However, these strategies also experience infrequent but severe losses. During 13 of the 978… (More)
We provide a model with overconfident risk neutral investors in which (i) low book-to-market firms have high betas but on average earn low returns; (ii) a factor-mimicking portfolio such as HML earns… (More)
We find important differences in dollar-based and dollar-neutral G10 carry trades. Dollar-neutral trades have positive average returns, are highly negatively skewed, are correlated with risk factors,… (More)