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

主讲人: Doron Avramov

Professor of Finance
The Hebrew University of Jerusalem, Israel

Visiting Professor of Finance
Chinese University of Hong Kong

主持人: 谢沛霖
The distance between the short- and long-run moving averages of prices is a potent predictor of stock returns in the cross-section and its predictive power goes well beyond momentum and a comprehensive set of other characteristics. The greater the positive (negative) distance between the short-run average and the long-run one, the greater (lower) is the expected return. The corresponding strategy yields reliable profits that do not decay even after several months and that survive modern factor models and reasonable transaction costs. The distance also reliably predicts returns at the market and industry levels, as well as in international settings. We propose and provide supporting evidence for the notion that large deviations of prices from their long-run moving averages represent surprises relative to prevailing anchors to which investors react insufficiently.
时间: 2018-06-04(Monday)16:40-18:10
地点: 经济楼D235
期数: 厦门大学金融经济学系列讲座2018春第七讲(总第47讲)
主办单位: 厦门大学经济学院、王亚南经济研究院
承办单位: 厦门大学经济学院金融系
类型: 系列讲座