Momentum and Mean Reversion in Strategic Asset Allocation
Published Online:23 Apr 2009https://doi.org/10.1287/mnsc.1090.1006
References
- Variable selection for portfolio choice. J. Finance (2001) 56:1297–1351Crossref, Google Scholar
- Stock return predictability: Is it there? Rev. Financial Stud. (2007) 20:651–707Crossref, Google Scholar
- Fund managers' attitudes to risk and time horizons: The effect of performance benchmarking. Eur. J. Finance (1998) 4:257–278Crossref, Google Scholar
- Autocorrelated returns and optimal intertemporal portfolio choice. Management Sci. (1997) 43:1537–1551Link, Google Scholar
- Predictive regressions: A present-value approach. (2008) . Working paper, Stanford Graduate School of Business, Stanford, CAGoogle Scholar
- Optimal decentralized investment management. J. Finance (2008) 63:1849–1895Crossref, Google Scholar
- On the importance of measuring payout yield: Implications for empirical asset pricing. J. Finance (2007) 62:877–915Crossref, Google Scholar
- Estimating portfolio and consumption choice: A conditional Euler equations approach. J. Finance (1999) 14:1609–1645Crossref, Google Scholar
- A simulation approach to dynamic portfolio choice with an application to learning about return predictability. Rev. Financial Stud. (2005) 18:831–873Crossref, Google Scholar
- Predicting the equity premium out of sample: Can anything beat the historical average? Rev. Financial Stud. (2008) 21:1509–1531Crossref, Google Scholar
- Consumption and portfolio decisions when expected returns are time-varying. Quart. J. Econom. (1999) 114:433–496Crossref, Google Scholar
- A multivariate model of strategic asset allocation. J. Financial Econom. (2003) 67:41–80Crossref, Google Scholar
- The dog that did not bark: A defense of return predictability. Rev. Financial Stud. (2008) 21:1533–1575Crossref, Google Scholar
- An anatomy of trading strategies. Rev. Financial Stud. (1998) 11:489–520Crossref, Google Scholar
- Permanent and temporary components of stock prices. J. Political Econom. (1988) 96:246–273Crossref, Google Scholar
- Predicting the equity premium with dividend ratios. Management Sci. (2003) 5:639–654Link, Google Scholar
- A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. (2008) 21:1455–1508Crossref, Google Scholar
- Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance (1993) 48:65–91Crossref, Google Scholar
- A time-series model of stock returns with a positive short-term correlation and a negative long-term correlation. Rev. Quant. Finance Accounting (2002) 18:381–404Crossref, Google Scholar
- Reconciling the return predictability evidence. Rev. Financial Stud. (2008) 21:1607–1652Crossref, Google Scholar
- Momentum and autocorrelation in stock returns. Rev. Financial Stud. (2002) 15:533–563Crossref, Google Scholar
- Portfolio selection in stochastic environments. Rev. Financial Stud. (2007) 20:1–39Crossref, Google Scholar
- Stock market prices do not follow random walks: Evidence from a simple specification test. Rev. Financial Stud. (1988) 1:41–66Crossref, Google Scholar
- Valuing American options by simulation: A simple least-squares approach. Rev. Financial Stud. (2001) 14:113–148Crossref, Google Scholar
- Optimum consumption and portfolio rules in a continuous-time model. J. Econom. Theory (1971) 3:373–413Crossref, Google Scholar
- Do industries explain momentum? J. Finance (1999) 4:1249–1290Crossref, Google Scholar
- Mean reversion in stock returns: Evidence and implications. J. Financial Econom. (1988) 22:27–60Crossref, Google Scholar
- Does the failure of the expectation hypothesis matter for long-term investors? J. Finance (2005) 60:179–230Crossref, Google Scholar
- Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets. J. Financial Quant. Anal. (2002) 37:63–92Crossref, Google Scholar
- Learning about predictability: The effects of parameter uncertainty on dynamic asset allocation. J. Finance (2001) 56:205–246Crossref, Google Scholar

