Infrequent Rebalancing, Return Autocorrelation, and Seasonality

摘要: A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section stock returns. First, produces return autocorrelations that are consistent with empirical evidence from intraday returns new daily Autocorrelations switch sign become positive at horizon. Second, cross-sectional variance expected is larger when more traders rebalance. This effect generates seasonality returns, which help available evidence.