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【学术讲座】1月14日:高杨(Partial Moment Momentum)

文章来源: 发表时间:2019-01-12 12:19:44点击次数:

经济学院2019年第一次学术讲座

主讲人:高杨(澳大利亚悉尼大学金融专业博士研究生)

讲座题目:Partial Moment Momentum

时 间:1月14日上午09:30 - 10:30

地 点:经济学院106

摘要:While momentum profits benefit from persistent trends of the market, such strategies are unable to distinguish between upside and downside risk and suffer consequently. We propose partial moment-decomposed momentum trading strategies and find that they outperform plain momentum and volatility-adjusted momentum strategies. We find strong outperformance for them during states of market downturn. The outperformance is robust across different time periods. Furthermore, analysis, based on conventional factor risk, shows negligible exposure to factor risk for our preferred portfolio.

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