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        English Version
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          題目:Momentum, Reversal, and the Firm Fundamental Cycle

          報告人:Yufeng Han,University of North Carolina at Charlotte,Professor

          時間:2019年7月5日(周五) 10:00~11:30



          We link momentum and long-run return reversal to the cyclic behavior of firm fundamentals, which are represented by a fundamental index that summarizes succinctly and efficiently a broad range of business activities at firm level. In responding to repeated unanticipated positive (negative) shocks in fundamentals, investors continue to raise (lower) prices for winner (loser) firms, yielding momentum. However, due to the cyclicality of firm fundamentals, the unanticipated positive (negative) shocks decrease in magnitude overtime and eventually reverse, generating the reversal pattern. In addition, we find that firm fundamentals can explain stronger momentum in microcap stocks, and a long/short decile portfolio based on the firm fundament index outperforms the popular momentum portfolio substantially by doubling the Sharpe ratio and does not suffer crashes either.


          Yufeng Han, Professor of Belk College of Business University of North Carolina at Charlotte. He obtained Finance Ph. D. in John M. Olin School of Business, Washington University in St. Louis. His papers have been published on Journal of Financial Economics, Review of Financial Studies, Journal of Banking and Finance, Applied Financial Economics, Journal of Financial and Quantitative Analysis and Real Estate Economics.

        發布時間:2019-07-04 11:53:24 瀏覽人數:
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