教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第178期讲座

(2020年11月20日)

报告题目：What can explain momentum?Evidence from decomposition

报告人：Youwei Li (Hull University Business School, University of Hull)

Youwei Li教授来自Hull University Business School, University of Hull，主要从事计量金融、数量金融、风险管理及金融衍生品和长寿风险等方面的研究，在Quantitative Finance, Journal of Economic Dynamics and Control,Journal of Empirical Finance, The Financial Review, Insurance: Mathematics andEconomics等国际知名期刊发表论文数十篇。

摘要：We comprehensively evaluate and quantify the contribution of competing explanations for momentum.  We find that the well-known explanations of momentum such as 52-week high, earnings surprises and others explain 64% of momentum and there is a still significantly large portion (36%) of momentum left unexplained. Our findings are robust under market conditions with strong momentum performance, and among stocks with high limits to arbitrage. We further find that momentum crashes are primarily driven by return components and variables relating to prospect theory and mental accounting (PT/MA), and the strategies based on fundamental and residual momentum perform well during market rebounds.

报告时间：2020年11月20日 15:00--16:30

报告地点：腾讯会议（会议ID：891 584 230）

邀请人：郑敏

欢迎各位老师和同学积极参加！