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Journal Article

Do Industries Explain Momentum?

August 1, 1999 - Tobias J. Moskowitz Mark Grinblatt

The ability to outperform buy-and-hold strategies by acquiring past winning stocks and selling past losing stocks, commonly referred to as "individual stock momentum," remains one of the most puzzling of these anomalies, both because of its magnitude (up to 12 percent abnormal return per dollar long on a self-financing strategy per year) and because of the peculiar horizon pattern that it seems to follow: Trading based on individual stock momentum appears to be a poor strategy when using a short historical horizon for portfolio formation (especially less than one month); it is highly profitable at intermediate horizons (up to 24 months, although it is strongest in the 6- to 12-month range); and is again a poor strategy at longer horizons. This paper largely focuses on the positive persistence in stock returns (or momentum effect) over intermediate investment horizons (6 to 12 months) and explores various explanations for its existence.

Journal Article

Home Bias at Home: Local Equity Preference in Domestic Portfolios

January 1, 1999 - Joshua D Coval Tobias J. Moskowitz

The strong preference for domestic equities exhibited by investors in international markets, despite the well-documented gains from international diversification, remains an important yet unresolved empirical puzzle in financial economics. Though such behavior appears to be grossly inefficient from a diversification standpoint, academics have offered a variety of explanations for this phenomenon. Home bias explanations can be assigned to two groups: those that rely on national/governmental frictions and those that rely on frictions associated with distance.

Journal Article

The Role of Shorting, Firm Size and Time on Market Anomalies

May 1, 2013 - Ronen Israel Tobias J. Moskowitz

The pervasiveness, robustness and magnitude of return premia associated with size, value and momentum has made them the focal point for discussions of market efficiency, etc.

Journal Article

The Effects of Stock Lending on Security Prices

October 1, 2013 - Steven N. Kaplan Tobias J. Moskowitz Berk A. Sensoy

The impact of short selling is the subject of an ongoing debate among academics, investment committees, corporate boards, and regulators.

Journal Article

Momentum Crashes

September 1, 2016 - Tobias J. Moskowitz

A momentum strategy is a bet that past returns will predict future returns in the cross-section of assets, and is typically implemented by buying past winners and selling past losers.

Journal Article

Investing with Style

January 2, 2015 - Cliff Asness Antti Ilmanen Ronen Israel Tobias J. Moskowitz

Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.

Journal Article

Testing Agency Theory With Entrepreneur Effort and Wealth

March 2, 2005 - Marianne P. Bitler Tobias J. Moskowitz Annette Vissing-Jørgensen

We apply agency theory to an entrepreneurial setting by augmenting the standard principal-agent framework.We then test the model’s implications using unique data on entrepreneurial effort and wealth in privately held firms. In the model, a risk-averse entrepreneur seeking financing wishes to sell part of his equity stake to outside investors concerned with moral hazard.

Journal Article

An Analysis of Covariance Risk and Pricing Anomalies

January 1, 2003 - Tobias J. Moskowitz

Much research has focused on the relation between firm characteristics and mean returns, but this article examines the link between well‐known asset pricing “anomalies” and the covariance structure of returns.

Journal Article