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UID:42e8d5a9fa1314fba7e5495a9f924693
CATEGORIES:Seminars
CREATED:20170421T175029
SUMMARY:Lunch Seminar: Emilio Espino (Universidad Di Tella)
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Short-Term Momentum and Long-Term Reversal of Returns under Limited Enforce
 ability and Belief Heterogeneity (with Pablo F. Bekery)\nAbstract:\n We eva
 luate the ability of the Lucas [28] tree and the Alvarez-Jermann [4] models
 , both with homogeneous as well as heterogeneous beliefs, to generate a tim
 e series of excess returns that displays both short-term momentum and long-
 term reversal at quarterly frequency. We calibrate the model to U.S. data a
 s in Alvarez and Jermann [5]. We find that only the Alvarez-Jermann model w
 ith heterogeneous beliefs delivers autocorrelations that not only have the 
 correct sign but are also of magnitude similar to the US data.\n
DTSTAMP:20260406T133112Z
DTSTART:20161024T130000Z
DTEND:20161024T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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