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Showing results 1 to 20 of 62
   Speculative Trading and Bubbles: Evidence from the Art MarketPenasse, Julien  ; in MANAGEMENT SCIENCE (2022), 68(7), 4755-5555 We argue that extrapolative expectations drive boom–bust cycles in the postwarart market. Price run-ups coincide with increases in demand fundamentals but are fol-lowed by predictable busts. Predictable ... [more ▼] We argue that extrapolative expectations drive boom–bust cycles in the postwarart market. Price run-ups coincide with increases in demand fundamentals but are fol-lowed by predictable busts. Predictable changes account for about half of the variance offive-year price changes. High prices coincide with many attributes of speculative bubbles:trading volume, the share of short-term trades, the share of postwar art, and volatility areall higher during booms. In addition, short-term transactions underperform long-termtransactions. Survey evidence further confirms the link between beliefs, prices, and volumedynamics as in models in which extrapolative beliefs fuel speculative bubbles. [less ▲] Detailed reference viewed: 43 (3 UL) Understanding Alpha DecayPenasse, Julien in Management Science (2022), 68(5), 3966-3973 I study the importance of alpha decay for the measurement of realized and conditional expected returns in asset pricing studies. Alpha decay refers to the reduction in abnormal expected returns (relative ... [more ▼] I study the importance of alpha decay for the measurement of realized and conditional expected returns in asset pricing studies. Alpha decay refers to the reduction in abnormal expected returns (relative to an asset pricing model) in response to an anomaly becoming widely known among market participants. As decreases in alpha are associated (ceteris paribus) with positive realized returns, the econometrician may misinterpret these repricing returns as evidence that the anomaly will persist in the future. Because alpha decay is generally a nonstationary phenomenon, asset pricing tests that impose stationarity may lead to biased inference. I illustrate the importance of alpha decay using the most commonly studied anomalies in the asset pricing literature and find that the measured alpha differs from the true alpha by about 1.4% per year. I provide a simple formula to correct for this bias and show how to incorporate alpha decay tests into the standard asset pricing toolkit. [less ▲] Detailed reference viewed: 31 (4 UL)The missing risk premium in exchange ratesPenasse, Julien in Journal of Financial Economics (2022), 143(2), 697-715 We use a present-value model of the real exchange rate to impose structure on the currency risk premium. We allow the currency risk premium to depend on both the interest rate differential and a latent ... [more ▼] We use a present-value model of the real exchange rate to impose structure on the currency risk premium. We allow the currency risk premium to depend on both the interest rate differential and a latent component: the missing risk premium. Consistent with the data, our present-value model implies that the real exchange rate should predict currency returns. We find that the missing risk premium, not the interest rate differential, explains most of the variation in the real exchange rate. Moreover, our model sheds light on puzzling relations between the interest rate differential, the real exchange rate, and the currency risk premium. [less ▲] Detailed reference viewed: 24 (0 UL)Investing in CrisesPenasse, Julien Presentation (2022, January 21) Detailed reference viewed: 21 (0 UL)Investing in CrisesPenasse, Julien Presentation (2021, December 10) Detailed reference viewed: 20 (2 UL)Investing in CrisesPenasse, Julien Presentation (2021, October 19) Detailed reference viewed: 20 (0 UL)Investing in CrisesPenasse, Julien Presentation (2021, September 28) Detailed reference viewed: 20 (0 UL)Speculative Trading and Bubbles: Evidence from the Art MarketPenasse, Julien ; in Management Science (2021) Detailed reference viewed: 40 (8 UL)When a Master Dies: Speculation and Asset FloatPenasse, Julien ; ; in Review of Financial Studies (2021), 34(8), 38403879 Detailed reference viewed: 65 (3 UL)The missing risk premium in exchange ratesPenasse, Julien ; in Journal of Financial Economics (2021) Detailed reference viewed: 24 (1 UL)Investing in CrisesPenasse, Julien Presentation (2021, March 18) Detailed reference viewed: 168 (0 UL)Understanding Alpha DecayPenasse, Julien Presentation (2020, October 06) Detailed reference viewed: 11 (0 UL)When a Master Dies: Speculation and Asset FloatPenasse, Julien ; ; Scientific Conference (2020, August 28) Detailed reference viewed: 11 (0 UL)Measuring Macroeconomic Tail RiskPenasse, Julien ; Scientific Conference (2020, August 20) Detailed reference viewed: 9 (0 UL)When a Master Dies: Speculation and Asset Float”Penasse, Julien ; ; Scientific Conference (2020, January 30) Detailed reference viewed: 111 (7 UL)When a Master Dies: Speculation and Asset FloatPenasse, Julien ; ; Scientific Conference (2020, January) Detailed reference viewed: 14 (0 UL)Understanding Alpha DecayPenasse, Julien Scientific Conference (2019, December 16) Detailed reference viewed: 15 (0 UL)Measuring Macroeconomic Tail RiskPenasse, Julien Presentation (2019, December 05) Detailed reference viewed: 9 (0 UL) |
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