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SUMMARY:Infrequent Rebalancing\, Return Autocorrelation\, and Seasonality
DTSTART:20151027T120000
DTEND:20151027T130000
DTSTAMP:20260413T090949Z
UID:3758637fc6e12bc60c5dcb11e960ad87d58e1ea4c6499be9820a781b
CATEGORIES:Conferences - Seminars
DESCRIPTION:Vincent BOGOUSSLAVSKY (PhD Student\, SFI@EPFL)\nA model of inf
 requent rebalancing can explain specific predictability patterns in the ti
 me-series and cross-section of stock returns. First\, infrequent rebalanci
 ng produces return autocorrelations that are consistent with empirical evi
 dence from intraday returns and new evidence from daily returns. Autocorre
 lations can switch sign and become positive at the rebalancing horizon. Se
 cond\, variations in the degree of infrequent rebalancing across periods i
 ncrease the cross-sectional variance in expected returns in the period dur
 ing which more traders rebalance. This effect generates seasonality in the
  cross-section of stock returns\, which can help explain the empirical evi
 dence.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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