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“汉青论坛”第二十三期

【本期主题】Myopic Extrapolation, Price Momentum, and Price Reversal

We find that last-year's winners have lower expected returns than losers. However, this is followed by prior winners experiencing more positive earnings shocks than losers for at least two quarters after portfolio formation. After that time frame, the relative earnings shocks display the opposite pattern. If investors, when valuing securities, were to myopically extrapolate current earnings shocks as if they were long-lasting, then we would observe price momentum in the short run, followed by reversal in the long run. This hypothesis has two unique predictions: (i) current earnings shocks propel investors to myopically adjust forecasts on future cash flows, from short run to long run; and (ii) current earnings shocks and revisions to expected future cash flows dominate past returns in explaining price momentum and reversal. We find strong support for both predictions in the data.

【报告人】陈龙                 长江商学院金融学教授

【时  间】3月21日 中午12:00

【地  点】明德主楼714室

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报告人简介：

陈龙博士于2001年获得多伦多大学金融学博士学位。现任长江商学院金融系教授。此前，他曾在密歇根州立大学担任助理教授，圣路易斯华盛顿大学奥林商学院金融系副教授。他的研究兴趣包括资产定价、流动性风险、信用风险以及企业融资决策。他在许多金融学顶尖期刊上发表过文章，包括Review of Financial Studies, Journal of Finance, Journal of Financial Economics等。

汉青经济与金融高级研究院

二零一二年三月二十日