12 citations · 12 across the 3 of their papers we have counts for
5 papers
Expectations Formation with Fat-tailed Processes: Evidence from Sales Forecasts
Eugene Larsen-Hallock, Adam Rej, David Thesmar
We empirically analyze a large sample of firm sales growth expectations. We find that the relationship between forecast errors and lagged revision is non-linear. Forecasters underr…
Why and how systematic strategies decay
Antoine Falck, Adam Rej, David Thesmar
In this paper, we propose ex-ante characteristics that predict the drop in risk-adjusted performance out-of-sample for a large set of stock anomalies published in finance and accou…
Is Factor Momentum More than Stock Momentum?
Antoine Falck, Adam Rej, David Thesmar
Yes, but only at short lags. In this paper we investigate the relationship between factor momentum and stock momentum. Using a sample of 72 factors documented in the literature, we…
The Excess Returns of "Quality" Stocks: A Behavioral Anomaly
Jean-Philippe Bouchaud, Stefano Ciliberti, Augustin Landier +2
This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "r…
Instabilities in large economies: aggregate volatility without idiosyncratic shocks
Julius Bonart, Jean-Philippe Bouchaud, Augustin Landier +1
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of…