Found 44 article(s) for author 'Jeremy Stein'

Do Hedge Funds Profit From Mutual-Fund Distress?

Do Hedge Funds Profit From Mutual-Fund Distress? Jeremy Stein, Samuel Hanson, February 2008, Paper. “This paper explores the question of whether hedge funds engage in front-running strategies that exploit the predictable trades of others. One potential opportunity for front-running arises when distressed mutual funds — those suffering large outflows of assets under management — are forced to sell stocks they own. We document two pieces of evidence that are consistent with hedge funds taking advantage of this opportunity. First, in the time series, the average returns of long/short equity hedge funds are significantly higher in those…” Link

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The Only Game in Town: Stock-Price Consequences of Local Bias

The Only Game in Town: Stock-Price Consequences of Local Bias. Jeremy Stein, November 2007, Paper. “Theory suggests that, in the presence of local bias, the price of a stock should be decreasing in the ratio of the aggregate book value of firms in its region to the aggregate risk tolerance of investors in its region. Using data on U.S. states and Census regions, we find clear-cut support for this proposition. Most of the variation in the ratio of interest comes from differences across regions in aggregate book value per capita. Regions with low population density—e.g., the Deep South—are home to relatively few firms per capita…” Link

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Simple Forecasts and Paradigm Shifts

Simple Forecasts and Paradigm Shifts. Jeremy Stein, June 2007, Paper. “We study the asset pricing implications of learning in an environment in which the true model of the world is a multivariate one, but agents update only over the class of simple univariate models. Thus, if a particular simple model does a poor job of forecasting over a period of time, it is discarded in favor of an alternative simple model. The theory yields a number of distinctive predictions for stock returns, generating forecastable variation in the magnitude of the value-glamour return differential, in volatility, and in the skewness of returns. We validate several…” Link

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Disagreement and the Stock Market

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

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