User profiles for T. Moskowitz
Tobias J. MoskowitzYale University Verified email at yale.edu Cited by 26497 |
[HTML][HTML] Time series momentum
… from the following regression:(4) r t T S M O M ( k , h ) = α + β 1 M K T t + β 2 B O N D t + β
3 G S C I t + s S M B t + h H M L t + m U M D t + ε t , where we control for passive exposures to …
3 G S C I t + s S M B t + h H M L t + m U M D t + ε t , where we control for passive exposures to …
Home bias at home: Local equity preference in domestic portfolios
JD Coval, TJ Moskowitz - The Journal of Finance, 1999 - Wiley Online Library
The strong bias in favor of domestic securities is a well‐documented characteristic of international
investment portfolios, yet we show that the preference for investing close to home also …
investment portfolios, yet we show that the preference for investing close to home also …
Value and momentum everywhere
CS Asness, TJ Moskowitz… - The journal of finance, 2013 - Wiley Online Library
… Momentum returns for these asset classes are in fact stronger when we don't skip the most
… We include a scaling factor c t such that the overall portfolio is scaled to one dollar long and …
… We include a scaling factor c t such that the overall portfolio is scaled to one dollar long and …
The geography of investment: Informed trading and asset prices
JD Coval, TJ Moskowitz - Journal of political Economy, 2001 - journals.uchicago.edu
… As in Coval and Moskowitz (1999a), we compute the actual distance … at time t is where
#buyers j,t reflects the number of funds that increased their holdings of firm j in period t, #traders j,t …
#buyers j,t reflects the number of funds that increased their holdings of firm j in period t, #traders j,t …
Do industries explain momentum?
TJ Moskowitz, M Grinblatt - The Journal of finance, 1999 - Wiley Online Library
… -month strategy at time t entails ranking stocks based on their t − 6 to t − 1 returns, and … t to
t + 5 minus the value-weighted return of the lowest 30 percent of stocks every month from t to t …
t + 5 minus the value-weighted return of the lowest 30 percent of stocks every month from t to t …
Market frictions, price delay, and the cross-section of expected returns
K Hou, TJ Moskowitz - The Review of Financial Studies, 2005 - academic.oup.com
We parsimoniously characterize the severity of market frictions affecting a stock using the
delay with which its price responds to information. The most delayed firms command a large …
delay with which its price responds to information. The most delayed firms command a large …
The returns to entrepreneurial investment: A private equity premium puzzle?
TJ Moskowitz, A Vissing-Jørgensen - American Economic Review, 2002 - aeaweb.org
… different between investing in a portfolio of a single private firm, a public equity index, and
T-bills, or a portfolio of just the public equity index and T-bills. For an investor with a relative risk…
T-bills, or a portfolio of just the public equity index and T-bills. For an investor with a relative risk…
[HTML][HTML] Momentum crashes
K Daniel, TJ Moskowitz - Journal of Financial economics, 2016 - Elsevier
… set of regressions using the bull market indicator I L , t − 1 instead of the bear-market indicator
I B , t − 1 . The key variables here are the estimated coefficients and t-statistics on β L, U , …
I B , t − 1 . The key variables here are the estimated coefficients and t-statistics on β L, U , …
An analysis of covariance risk and pricing anomalies
TJ Moskowitz - The Review of Financial Studies, 2003 - academic.oup.com
This article examines the link between several well-known asset pricing “anomalies” and the
covariance structure of returns. I find size, book-to-market, and momentum strategies exhibit …
covariance structure of returns. I find size, book-to-market, and momentum strategies exhibit …
Predicting stock price movements from past returns: The role of consistency and tax-loss selling
M Grinblatt, TJ Moskowitz - Journal of Financial Economics, 2004 - Elsevier
… t cross-sectional regression that we analyze is,(1) r ̃ t (j)− R ̃ t … t cross-sectional regression is,
r ̃ t (j)− R ̃ t B (j)=α t +β 1t r t−1:t−… r t−1:t−1 L (j)+β 3t D t−1:t−1 CW (j)+ γ 1t r t−12:t−2 (j)+γ 2t r t−…
r ̃ t (j)− R ̃ t B (j)=α t +β 1t r t−1:t−… r t−1:t−1 L (j)+β 3t D t−1:t−1 CW (j)+ γ 1t r t−12:t−2 (j)+γ 2t r t−…