Asset pricing.

• Position: Conference held on October 30, 1998

The NBER's Program on Asset Pricing, directed by John Y. Campbell, held its fall meeting in Chicago on October 30. George M. Constantinides NBER and the University of Chicago, organized the meeting at which the following papers were discussed:

Tobias J. Moskowitz, University of Chicago, and Mark Grinblatt, University of California, Los Angeles, "Momentum Investing: Industry Effects, Methodological Issues, and Profit Opportunities"

Discussant: Jacob Boudoukh, NBER and New York University

David Hirshleifer, University of Michigan: Kent D. Daniel, NBER and Northwestern University; and Avanidhar Subrahmanyam, University of California, Los Angeles, "Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns"

Discussant: Jonathan B. Berk, NBER and University of California, Berkeley

Dimitri DeMarzo, NBER and MIT; Peter M. DeMarzo, University of California, Berkeley; and Jeffrey Zwiebel, Stanford University, "A Near-Rational Model of Persuasion with Implications for Financial Markets"

Discussant: Pietro Veronesi, University of Chicago

David A. Hsieh, Duke University, and William Fung, Paradigm Financial Products, "A Risk Neutral Approach to Valuing Trend Following Strategies"

Discussant: Deborah J. Lucas NBER and Northwestern University

Timothy Cogley, Federal Reserve Bank of San Francisco. "Idiosyncratic Risk and the Equity Premium: Evidence from the Consumer Expenditure Survey"

Discussant: Annette Vissing-Jorgensen, University of Chicago

Rene M. Stulz, NBER and Ohio State University, with Hyuk Choe and Bong Chang Kho, Seoul National University, "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997" (NBER Working Paper No. 6661)

Discussant: Robert J. Shiller, NBER and Yale University

Moskowitz and Grinblatt argue that the much-discussed momentum effect - the tendency for stocks that have performed well over the previous 6 to 12 months to outperform again over the following 6 to 12 months - is primarily a phenomenon of industries rather than individual stocks. The authors examine the profitability of momentum strategies that buy past winners and sell past losers. These strategies appear highly profitable when they work with winning and losing industries, but less so when they work with individual stocks while maintaining a constant industry composition. Furthermore, industry momentum profits are derived both from long and short positions and individual momentum profits are predominantly derived from...