Short-Term Momentum and Long-Term R eversal of Returns under Limited Enforceability and Belief Heterogeneity (with Pablo F. Bekery)
Abstract:< br /> We evaluate the ability of the Lucas [28] tree and the Alvarez-Jerman n [4] models, both with homogeneous as well as heterogeneous beliefs, to ge nerate a time series of excess returns that displays both short-term moment um and long-term reversal at quarterly frequency. We calibrate the model to U.S. data as in Alvarez and Jermann [5]. We find that only the Alvarez-Jer mann model with heterogeneous beliefs delivers autocorrelations that not on ly have the correct sign but are also of magnitude similar to the US data.< /p> DTSTAMP:20260406T133348Z DTSTART:20161024T130000Z DTEND:20161024T140000Z SEQUENCE:0 TRANSP:OPAQUE END:VEVENT END:VCALENDAR