金融与财务学系列讲座之316期
时 间：2024年12月17日14:00-15:30
地 点：史带楼603室
主 题：Does Cross-Stock Momentum Reflect Underreaction？
主讲人: Jiacui Li University of Utah
摘 要：Many studies found that returns of related stocks cross-predict each other (“cross-stock momentum”). These patterns have been interpreted as underreaction to cash flow information, which implies that the returns should persist. However, we document that they revert over the long run, indicating overreactions. To further understand cross-stock momentum, we decompose it into a “symmetric” component, which reflects common momentum in factor portfolios, and an “asymmetric” component, which captures unidirectional lead-lags. On a dollar-weighted basis, the former is the main component of cross-stock momentum and accounts for all of the long-run reversal. Only the latter, smaller component appears interpretable as underreaction.
简 介：Jiacui Li is an Assistant Professor of Finance at the David Eccles School of Business, University of Utah. He received his Ph.D. from Stanford Graduate School of Business in 2019. He conducts empirical and theoretical research about capital markets and asset pricing. His work has been published in JFE, RFS, RAPS, JAE, JFQA.
金融与财务学系
2024-12-11
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