Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
Please note that all times are shown in the time zone of the conference. The current conference time is: 9th May 2025, 03:31:44am EDT
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Session Overview |
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Track W7-1: Risk, Return, and Asset Pricing
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Reversal Patterns in Risk-Adjusted Returns: Evidence of Excess Volatility in Anomalies 1Bocconi University; 2CEPR; 3The Ohio State University; 4University of Notre Dame According to a no-arbitrage condition, risk-adjusted returns should be unpredictable. Using several prominent factor models and a large cross-section of anomalies, we find that past cumulative riskadjusted returns predict future anomaly returns with a negative sign. We interpret these cumulative returns as deviations of an anomaly price from the mean-variance efficient portfolio, introducing a novel anomaly-specific predictor endogenous to both the anomaly portfolio and the factor model. The observed reversal pattern in risk-adjusted returns is consistent with a transitory component in prices, indicating excess volatility in anomaly prices beyond what discount rate adjustments can explain.
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