Waseda Organizational and Financial Economics Seminar:
“The Predictability of Equity Returns from Past Returns: A New Moving Average-Based Perspective” (7/30)
講演者 / Speaker
AVRAMOV, Doron (Visiting Professor, Chinese University of Hong Kong)
日 時 / Date & Time
2018年7月30日(月) 13:00~14:30
会 場 / Venue
早稲田大学 早稲田キャンパス 11号館 11階 1112教室
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 開会の挨拶(宮島 英昭 早稲田大学 高等研究所長 / 商学学術院 教授)
13:05~14:05 講演
14:05~14:25 質疑応答
14:25~14:30 閉会の挨拶(宮島 英昭)
対 象 / Prospected Audience
学部生・大学院生・教職員・一般
主 催 / Organizer
早稲田大学 産業経営研究所
早稲田大学 高等研究所
申込み / Registration
事前申込み不要です。直接会場にお越しください。