Individuals’ Return Predictability in Market and Limit Trades

Financial Economics, Return Predictability and Market Efficiency

Market Closure , Liquidity Premia , and Return Predictability ∗

In his seminal work, Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that incorporating the well-established time-varying return dynamics across trading and nontrading periods can produce a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisin...

Commodity Market Interest and Asset Return Predictability ∗

We establish several new findings on the relation between open interest in commodity markets and asset returns. High commodity market activity, as measured by high open-interest growth, predicts high commodity returns and low bond returns. Openinterest growth is a more powerful and robust predictor of commodity returns than other known predictors such as the short rate, the yield spread, the ba...

JOB MARKET PAPER The Momentum Gap and Return Predictability∗

Momentum strategies have historically delivered high Sharpe ratios and large positive alphas. However, returns to these strategies also display significant time-variation that is not very well understood. I show that expected momentum returns vary negatively and monotonically with the formation period return difference between past winners and losers, which I term the momentum gap. A one standa...

Commodity Market Capital Flow and Asset Return Predictability ∗

We establish several new findings on the relation between capital flow in commodity markets and asset returns. Capital flowing into commodity markets, as measured by high open-interest growth, predicts high commodity returns and low bond returns. Open-interest growth is a more powerful and robust predictor of commodity returns than other known predictors such as the short rate, the yield spread...