An Institutional Theory of Momentum and Reversal
By Dimitri Vayanos, P. Woolley. 2013
419 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/623f8571122b5f5e0293ad522a23e6d139c44813
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Tobias Adrian
- Anna Pavlova
- Richard K. Crump
- Erik Vogt
- Heiko Jacobs
- Mariassunta Giannetti
- Andrew Ellul
- Cristina Cella
In Finance
- Tobias Adrian
- Anna Pavlova
- Heiko Jacobs
- Richard K. Crump
- Erik Vogt
- Denis Gromb
- Mariassunta Giannetti
- Andrew Ellul
Citations in the corpus
- Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, positive): “This type of nonlinear relationship is broadly consistent with theories of flight-to-safety which tend to predict highly nonlinear equilibrium asset pricing relationships (Vayanos (2004), Weill (2007), Caballero and Krishnamurthy (2008), Brunnermeier and Pedersen (2009), Vayanos and Woolley (2013)).”
- Market Tantrums and Monetary Policy (2014, neutral): “Vayanos and Woolley (2013) have shown how momentum and reversals result from small agency frictions, even with long-only investors.”
- Limits of Arbitrage (2010, positive): “In Vayanos & Woolley (2008), investors withdraw capital following underperformance by fund managers because they infer rationally that managers might be inefficient.”
- Investors' Horizons and the Amplification of Market Shocks (2013, methodology): “In what follows, we refer as IT1 to the proxy obtained averaging the churn ratio defined as in Gaspar, Massa and Matos (2005), as IT2 to the proxy obtained averaging the churn ratio defined as in Wermers (2000) and Brunnermeier and Nagel (2004), and as IT3 to the proxy obtained by adding up the owne”
- Asset Prices and Institutional Investors (2013, background): “Recently, the link between institutional fund flows and momentum has been established theoretically by Vayanos and Woolley (2010) and empirically by Lou (2009).”
- Media Makes Momentum (2014, result): “9A positive influence of idiosyncratic volatility (one of our uncertainty proxies) on momentum profits and subsequent reversals is also predicted by recent work of Vayanos and Woolley (2013) who propose that momentum is partly attributable to agency issues in institutional asset management.”