Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as gla...Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios.Methods:Following Lakonishok et al.(J Financ 49:1541–1578,1994),we assess the illiquidity characteristics of portfolios that underlie contrarian investment strategies that are based on the level of stock’s book to market.Results:We find strong evidence that those portfolios characterized as value investments are associated with dramatically greater levels of illiquidity than glamour portfolios.We further demonstrate that strategies based on the illiquidity in the year prior to portfolio formation result in return characteristic of ostensibly contrarian strategies.Conclusions:These results suggest that the higher returns associated with contrarian investment strategies are the result of the higher illiquidity associated with value portfolios and represent compensation that the investor receives for accepting illiquidity.They also suggest that researchers should be cautious before attributing apparent anomalies to behavior-driven expectational errors rather than to other attributes unrelated to behavior,such as illiquidity.展开更多
A generalization of the Kuramoto model in which oscillators are coupled to the mean field with random signs is investigated in this work. We focus on a situation in which the natural frequencies of oscillators follow ...A generalization of the Kuramoto model in which oscillators are coupled to the mean field with random signs is investigated in this work. We focus on a situation in which the natural frequencies of oscillators follow a uniform probability density. By numerically simulating the model, we find that the model supports a modulated travelling wave state except for already reported 7r state and travelling wave state in the one with natural frequencies following Lorenztian probability density or a delta function. The dependence of the observed dynamics on the parameters of the model is explored and we find that the onset of synchronization in the model displays a non-monotonic dependence on both positive and negative coupling strength.展开更多
文摘Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios.Methods:Following Lakonishok et al.(J Financ 49:1541–1578,1994),we assess the illiquidity characteristics of portfolios that underlie contrarian investment strategies that are based on the level of stock’s book to market.Results:We find strong evidence that those portfolios characterized as value investments are associated with dramatically greater levels of illiquidity than glamour portfolios.We further demonstrate that strategies based on the illiquidity in the year prior to portfolio formation result in return characteristic of ostensibly contrarian strategies.Conclusions:These results suggest that the higher returns associated with contrarian investment strategies are the result of the higher illiquidity associated with value portfolios and represent compensation that the investor receives for accepting illiquidity.They also suggest that researchers should be cautious before attributing apparent anomalies to behavior-driven expectational errors rather than to other attributes unrelated to behavior,such as illiquidity.
基金Supported by National Natural Science Foundation of China under Grant No. 11247279
文摘A generalization of the Kuramoto model in which oscillators are coupled to the mean field with random signs is investigated in this work. We focus on a situation in which the natural frequencies of oscillators follow a uniform probability density. By numerically simulating the model, we find that the model supports a modulated travelling wave state except for already reported 7r state and travelling wave state in the one with natural frequencies following Lorenztian probability density or a delta function. The dependence of the observed dynamics on the parameters of the model is explored and we find that the onset of synchronization in the model displays a non-monotonic dependence on both positive and negative coupling strength.
