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【Seminar】 財金系 12/08 (五) 上午 10:30 邀請 Hebrew University 的 Prof. Doron Avramov 演講
活動起日:2017-12-08 
發佈日期:2017-12-04 
瀏覽數:80  2017-12-04 更新

本系擬於 12/08 () 邀請 Hebrew University Prof. Doron Avramov 至本所進行專題演講,相關訊息如下:

 

【演講訊息】

時間: 12/08 () 10:30-12:00

地點: 管理學院一號館 405 教室

講者: Prof. Doron Avramov

講題: The Predictability of Equity Returns from Past Returns: A New Moving-Average-Based Perspective

 

Abstract:

We show that the distance between the short- and long-run moving averages of prices is a potent predictor of stock returns in the cross-section. The greater the positive distance between the short-run average and the long-run one, the greater is the expected return, and the greater the negative distance between the short- and long-run average, the lower is the expected return. This rule yields reliable profits that do not decay even after several months (the alphas from the hedge portfolios remain significant even after two years). The rule also reliably predicts returns at the market and industry levels, as well as in international settings, and it survives modern factor models and reasonable transaction costs. We provide an explanation for our result based on the anchoring phenomenon. Specifically, a big deviation of a price from its moving average represents a surprise relative to a prevailing anchor to which agents react insufficiently in the long-run.