Rm. #1112 on the 11th floor, Building #11, Waseda University<\/a><\/p>\n\u4e3b\u3000\u65e8 \/ Outline<\/h5>\n
“The Predictability of Equity Returns from Past Returns: A New Moving Average-Based Perspective”<\/p>\n
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.
\nThe greater the positive (negative) distance between the short-run average and the long-run one, the greater (lower) is the expected return.
\nThe corresponding strategy yields reliable profits that do not decay even after several months and that survive modern factor models and reasonable transaction costs.
\nThe distance also reliably predicts returns at the market and industry levels, as well as in international settings.
\nWe 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.<\/p>\n
\u30d7\u30ed\u30b0\u30e9\u30e0 \/ Schedule<\/h5>\n
13:00\uff5e13:05 Opening Remarks \uff08MIYAJIMA,\u00a0Hideaki (Director, WIAS \/ Professor, Waseda University)\uff09
\n13:05\uff5e14:05 Presentation
\n14:05\uff5e14:25 Question-and-answer session
\n14:25\uff5e14:30 Concluding Remarks\uff08MIYAJIMA,\u00a0Hideaki \uff09<\/p>\n
\u5bfe\u3000\u8c61 \/ Prospected Audience<\/h5>\n
Faculty and staff members of a university, grad students, undergraduates, the general public<\/p>\n
\u4e3b\u3000\u50ac \/ Organizer<\/h5>\n
Research Institute of Business Administration,Waseda University
\nWaseda Institute for Advanced Study,Waseda University<\/p>\n
\u7533\u8fbc\u307f \/ Registration<\/h5>\n
Free of charge. Please come to the event venue directly.<\/p>\n","protected":false},"excerpt":{"rendered":"
Waseda Organizational and Financial Economics Seminar: “The Predictability of Equity Returns from Past R […]<\/p>\n","protected":false},"author":6,"featured_media":2762,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[95],"tags":[82,94,73],"class_list":["post-5559","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-news-en","tag-events-en","tag-general-en","tag-research-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/5559","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/comments?post=5559"}],"version-history":[{"count":1,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/5559\/revisions"}],"predecessor-version":[{"id":5560,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/5559\/revisions\/5560"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/media\/2762"}],"wp:attachment":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/media?parent=5559"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/categories?post=5559"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/tags?post=5559"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}