Topic:Dissecting Momentum in China

Lecturer: Xin Liu

Dr. Xin Liu is an associate professor at the University of Macau. He received his PhD from the University of Hong Kong. His research interests include empirical asset pricing, behavioral finance, and institutional investors. Research results published in Review of Financial Studies, Management Science, Review of Finance, Journal of Corporate Finance, Journal of Empirical Finance and other journals.

Abstract:

 We link the disappearance of momentum profit in China to the persistence of the news day and non -news day components of returns. We document news day and non-news day firm - level return continuation along with an offsetting cross - period reversal effect in China, which indicates a tug-of-war between two investor clienteles. We design an augmented momentum strategy based on the past news performance instead of past price performance, and find that stocks that outperform in news on average perform relatively well in stock returns in the subsequent month. Moreover, the non-news day reversal mainly comes from stocks that outperform in news returns but underperform in news, suggesting that the tug-of-war represents news day price overshoot and non-news day mispricing correction.

Time:2:00-3:00p.m, October 31th,2024

Venue: B321, Zhixin Building, Central Campus