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2017/6月 23

财务与金融系第八十期“金融高端论坛”

财务与金融系第八十期“金融高端论坛”
开始时间:2017-06-23 10:00
活动地点:明德主楼509室
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状态: 已结束

主  题:  Momentum in Anomaly Returns

主讲人: Xuemin (Sterling) Yan   美国密苏里大学金融学教授

协调人:郑凌凌

语  言:英语

讲座摘要:

We find strong evidence of time-series and cross-sectional momentum in the long-short returns of 90 anomalies. Anomalies that performed well during recent weeks continue to perform well for up to a year. Strategies that exploit such persistence deliver significant abnormal returns that are robust to the momentum effect of Jegadeesh and Titman (1993), remain unchanged after we demean each anomaly’s long-short returns, cannot be explained by time-varying exposures to standard asset pricing factors, and are more pronounced when arbitrage capital is scarcer and market liquidity is lower. Our findings are inconsistent with the view that anomalies result from data mining. Nor are they consistent with risk-based explanations with constant expected returns. Although we cannot completely rule out time-varying risk premium, our results are more consistent with behavioral explanations in which limits to arbitrage and slow-moving capital allow mispricing to persist in the short run.

 

主讲人简介:

Professor Xuemin (Sterling) Yan is the Richard G. Miller Professor of Finance at the University of Missouri. He received his B.A. in finance from Renmin University of China and Ph.D. in finance from the University of Iowa. Professor Yan's research interests include empirical asset pricing, behavioral finance, and institutional investors. His papers have been published in Journal of Finance, Review of Financial Studies, Management Science, Journal of Accounting Research, and Journal of Financial and Quantitative Analysis.

 

中国人民大学金融高端论坛组委会

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