There is an extensive academic literature that documents that stocks which have performed well in the past often continue to perform well over some holding period so called momentum. We study the optimal timing for an asset sale for an agent with a long position in a momentum trade. The asset price is modelled as a geometric Brownian motion with a drift that initially exceeds the discount rate,...

T single-product firms with different quality levels and fixed limited capacities engage in sequential price competition in an essentially deterministic model where customers have heterogeneous valuations for both products. We develop conditions under which the leader (she) can take strategic advantage of her limited capacity by pricing relatively low, purposefully creating shortages and leavin...

A commonly observed two-stage pricing strategy for a custom-made product involves a prepurchase entry fee for a potential consumer and a purchase price if he decides to buy the product. We solve and compare two settings: In the first, the firm does not commit in advance to the second-stage price and in the second, the firm does. We show that without a commitment mechanism, the two price points ...

Baseball cards exhibit anomalies that are analogous to those that have been documented in financial markets, namely, momentum, price drift in the direction of past fundamental performance, and IPO underperformance. Momentum profits are higher among active players than retired players, and among newer sets than older sets. Regarding IPO underperformance, we find newly issued rookie cards underpe...

Relying on a comprehensive data set of news releases, we construct monthly firm-level news sentiment scores during the 2000–2014 period and document a news momentum phenomenon that stocks with more positive news in the past generate more positive news in the future. We propose two hypotheses to explain this phenomenon and find that news momentum is driven by the persistence of firms’ fundamenta...

We explain excess volatility, short-term momentum and long-term reversal of asset prices by a repeated game version of Keynes’ beauty contest. In every period the players can either place a buy or sell order on the asset market. The actual price movement is determined by average market orders and noise. It is common knowledge that the noise process is an exogenous random walk. Our model explain...

A vast literature reports excess returns to momentum strategies across many financial asset classes. However, no study examines trading rules based on price history along individual government-bond term structures—that is, with respect to duration buckets across the curve—as opposed to across sovereign markets or individual term structures as a whole over time. Under duration-neutral and long-o...

Momentum effects in stock returns need not imply investor irrationality, heterogeneous information, or market frictions. A simple, single-firm model with a standard pricing kernel can produce such effects when expected dividend growth rates vary over time. An enhanced model, under which persistent growth rate shocks occur episodically, can match many of the features documented by the empirical ...