講題:Momentum Investing: Empirical Methods, Practices, and Causes
講題摘要:
The momentum premium is one of the most pronounced and prevalent anomalies documented in asset-pricing literature. Possible explanations for the momentum premium include: (1) exposure to risk factors; (2) interaction with other firm characteristics; (3) data-snooping biases; and (4) behavioral-based theories. In this lecture, I will review the literature of momentum investing, with particular focuses on the methodologies, insights, as well as its applications.