Infrequent Rebalancing, Return Autocorrelation, and Seasonality
Event details
Date | 27.10.2015 |
Hour | 12:00 › 13:00 |
Speaker | Vincent BOGOUSSLAVSKY (PhD Student, SFI@EPFL) |
Location | |
Category | Conferences - Seminars |
A model of infrequent rebalancing can explain specific predictability patterns in the time-series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday returns and new evidence from daily returns. Autocorrelations can switch sign and become positive at the rebalancing horizon. Second, variations in the degree of infrequent rebalancing across periods increase the cross-sectional variance in expected returns in the period during which more traders rebalance. This effect generates seasonality in the cross-section of stock returns, which can help explain the empirical evidence.
Practical information
- Informed public
- Free