财务与金融系学术讲座系列2022年第7讲

主 题：What Explains Momentum? A Perspective From International Data

主讲人: Avanidhar Subrahmanyam (UCLA安德森管理学院教授)

协调人: 任泓霖，许年行

时 间：2022-04-08 10:00

地 点：线上会议室

语 言：英文

讲座摘要:

There is as yet no consensus on why equity markets permit momentum, although the literature proposes several explanations. Our analysis uses out-of-sample international data to consider a “horse race” across existing empirical proxies for momentum rationales used by earlier studies. Our central finding in cross-sectional analyses is that the proxy for the frog-in-the-pan (FIP) hypothesis, which posits that due to limited attention, investors underreact to information that arrives gradually rather than in concentrated doses, consistently wins. Also, internationally, momentum is stronger in less volatile markets and in up-markets. The FIP proxy indicates that information flows more gradually during these market states, implying additional support for the hypothesis.

主讲人简介:

Professor Avanidhar (Subra) Subrahmanyam is Goldyne and Irwin Hearsh Distinguished Professor of Finance at the Anderson School, UCLA. He is an expert in stock market activity and behavioral finance. He is known for his pathbreaking research in the use of psychological principles to explain stock price movements and has published numerous articles in leading peer-reviewed finance and economics journals. His research work has been recognized with numerous research awards including the best paper award at the Western Finance Association meetings, the Smith Breeden Prize for the best paper published in the Journal of Finance (1999), the Fama-DFA prize for the best paper on investments published in the Journal of Financial Economics (2000).

Subrahmanyam’s current research interests range from the relationship between the trading environment of a firm’s stock and the firm’s cost of capital to behavioral theories for asset price behavior and empirical determinants of the cross-section of equity returns.

He is a founding editor of the Journal of Financial Markets, previously served as associate editor of the Review of Financial Studies and the Journal of Finance. He is a member of the National Bureau of Economic Research’s Working Research Group on Market Microstructure.