Abstract
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Toomas Laarits
Abstract
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Role of managerial incentives and discretion in hedge fund performance
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Spectral factor models
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What drives momentum and reversal? Evidence from day and night signals
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Investing for the long run when returns are predictable
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Dividend dynamics and the term structure of dividend strips
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How should investors’ long-term returns be measured?
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Mutual fund performance at long horizons
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The (large) effect of return horizon on fund alpha
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Predictable corporate distributions and stock returns
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Day of the week and the cross-section of returns
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Infrequent rebalancing, return autocorrelation, and seasonality
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Horizon effects in average returns: The role of slow information diffusion
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Market return around the clock: A puzzle
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Putting the price in asset pricing
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Portfolios for long-term investors
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10.1093/rfs/hhw027 · 2016
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Gambling preference and the new year effect of assets with lottery features
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Horizon effects in the pricing kernel: How investors price short-term versus long-term risks
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Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs
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The equity premium
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Long-horizon returns
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Cash flow duration and the term structure of equity returns
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Earnings announcements and systematic risk
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Capital market seasonality: The case of stock returns
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Are stocks really less volatile in the long run?
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The pre-FOMC announcement drift
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A tug of war: Overnight versus intraday expected returns
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The statistics of Sharpe ratios
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The term structures of equity and interest rates
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Why is long-horizon equity less risky? A duration-based explanation of the value premium
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HAR inference: Recommendations for practice
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Are seasonal anomalies real? A ninety-year perspective
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The retail habitat
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A demand system approach to asset pricing
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Are return seasonalities due to risk or mispricing?
10.1016/j.jfineco.2020.07.009 · doi-reference
Return seasonalities
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Market expectations in the cross-section of present values
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Principal portfolios
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Horizon pricing
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Optimal value and growth tilts in long-horizon portfolios
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Is there a replication crisis in finance?
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The Fed and the secular decline in interest rates
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Seasonality in the cross-section of stock returns
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The dividend month premium
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Consumption strikes back? Measuring long-run risk
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Factor timing
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