Waseda Organizational and Financial Economics Seminar:
“The Predictability of Equity Returns from Past Returns: A New Moving Average-Based Perspective” (July 30)
講演者 / Speaker
AVRAMOV, Doron (Visiting Professor, Chinese University of Hong Kong)
日 時 / Date & Time
Monday, 30 July 2018, 13:00 – 14:30
会 場 / Venue
Rm. #1112 on the 11th floor, Building #11, Waseda University
主 旨 / Outline
“The Predictability of Equity Returns from Past Returns: A New Moving Average-Based Perspective”
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.
プログラム / Schedule
13:00~13:05 Opening Remarks (MIYAJIMA, Hideaki (Director, WIAS / Professor, Waseda University))
13:05~14:05 Presentation
14:05~14:25 Question-and-answer session
14:25~14:30 Concluding Remarks(MIYAJIMA, Hideaki )
対 象 / Prospected Audience
Faculty and staff members of a university, grad students, undergraduates, the general public
主 催 / Organizer
Research Institute of Business Administration,Waseda University
Waseda Institute for Advanced Study,Waseda University
申込み / Registration
Free of charge. Please come to the event venue directly.