Roberto Gutierrez


Associate Professor of Finance
Lundquist College of Business
1208 University of Oregon
Eugene, OR 97403

rcg@uoregon.edu
541 346 3254



Working papers



Observing the choices of a delegated information monitor



2023, working paper, with Charles Gaa



The information landscape is vast. Agents must make choices. As a delegated information monitor, The Wall Street Journal (WSJ) makes coverage decisions to pro- vide value to its subscribers. The marginal benefits of reporting earnings news, as perceived by the WSJ, change over time. WSJ earnings coverage varies counter to the business cycle and increases with the equity risk premium, consistent with theo- ries of optimal information acquisition. The choices of the WSJ reveal dynamics in investors’ information structures. Increased earnings coverage signals a broad increase in the information content of small-stock prices, as well as an increase in the trading performance of mutual funds within the small-stock universe.


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Published papers



Market states and momentum



2004, The Journal of Finance, 59(3), 1345-1365
with Michael Cooper and Allaudeen Hameed



We test overreaction theories of short-run momentum and long-run reversal in the cross section of stock returns. Momentum profits depend on the state of the market, as predicted. From 1929 to 1995, the mean monthly momentum profit following positive market returns is 0.93%, whereas the mean profit following negative market returns is −0.37%. The up-market momentum reverses in the long-run. Our results are robust to the conditioning information in macroeconomic factors. Moreover, we find that macroeconomic factors are unable to explain momentum profits after simple methodological adjustments to take account of microstructure concerns.


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On the Predictability of Stock Returns in Real Time



2005, The Journal of Business, 78(2), 469-500
with Michael Cooper and Bill Marcum



Researchers have documented an abundance of evidence that stock returns are predictable ex post facto. In this study, we address the ex ante predictability of the cross section of stock returns by investigating whether a real-time investor could have used book-to-market equity, firm size, and one-year lagged returns to generate portfolio profits during the 1974–97 period. We develop variations on common recursive out-of-sample methods and demonstrate a marked difference between ex post and ex ante predictability, suggesting that the current notion of predictability in the literature is exaggerated.


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Momentum, reversal, and the trading behaviors of institutions



2007, Journal of Financial Markets, 10(1), 48-75
with Christo Pirinsky



We identify two types of momenta in stock returns—one due to returns relative to other stocks and one due to firm-specific abnormal returns, where abnormal is determined by a stock’s idiosyncratic return variation. Despite similar performances over the first year, these momentum portfolios perform dramatically differently beyond year one. Relative-return momentum reverses strongly abnormal-return momentum continues for years. This complexity in return momentum challenges the current theories of momentum. We propose that both momenta are consequences of agency issues in the money management industry and provide empirical support for this economic rationale of momentum in returns. Incentives induce institutions to chase relative returns and to underreact to firm-specific abnormal returns.


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The long-lasting momentum in weeky returns



2008, The Journal of Finance, 63(1), 415-447
with Eric Kelley



Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long-lasting continuation in returns follows the well-documented brief reversal. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings extend to weekly price movements with and without public news. In addition, there is no relation between news uncertainty and the momentum in 1-week returns.


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