Excerpt
Excerpt
Disagreement and the Stock Market. Jeremy Stein, Spring 2007, Paper. "A large catalog of variables with no apparent connection to risk has been shown to forecast stock returns, both in the time series and the cross-section. For instance, we see medium-term momentum and post-earnings drift in returns -- the tendency for stocks that have had unusually high past returns or good earnings news to continue to deliver relatively strong returns over the subsequent six to twelve months (and vice-versa for stocks with low past returns or bad earnings news); we also see longer-run fundamental reversion -- the tendency for "glamour" stocks..." Link