Infrequent Rebalancing, Return Autocorrelation, and Seasonality
提出一个低频再平衡模型，解释了股票收益在时间序列和横截面上的特定可预测模式，包括收益自相关符号转换和横截面收益的季节性，有助于理解相关实证证据。
ABSTRACT A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross‐section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday returns and new evidence from daily returns. Autocorrelations can switch sign and become positive at the rebalancing horizon. Second, the cross‐sectional variance in expected returns is larger when more traders rebalance. This effect generates seasonality in the cross‐section of stock returns, which can help explain available empirical evidence.