【本期主题】Momentum in Anomaly Returns

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.

【报告人】  Xuemin (Sterling) Yan

【时   间】2017年6月23日  上午10:00

【地   点】明德主楼509室

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报告人简介：

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.

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