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学术讲座

Buy-Side Competition and Momentum Profits

时间:2019-12-16

Finance Seminar2019-34)

Topic: Buy-Side Competition and Momentum Profits

Speaker: Nagpurnanand Prabhala, The Johns Hopkins Carey Business School

Time: Wednesday, 18 December, 10:00-11:30

Location: Room 217, Guanghua Building 2

Abstract:

We show that a new measure of buy-side competition explains momentum profits. The monthly momentum spread is 1.39% when competition is low and negligible when competition is high. Better alphas are attained with superior Sharpe and Sortino ratios, less negative skewness and in more investible strategies featuring value-weighted portfolios and large capitalization stocks. Stock characteristics traditionally related to momentum do not explain our results. Evidence on long-term returns and the trading patterns of funds, their style peers, distant funds, and retail investors suggest that slow information diffusion and trend chasing explain momentum and its reversal in low competition markets.

Introduction

Dr. Prabhala is Professor of Finance at Carey Business School. His primary research interests are in empirical corporate finance and financial intermediation. Prior to joining Carey, Prabhala was Professor and head of the finance area at University of Maryland, College Park. Prabhala also has served as research head at CAFRAL, Reserve Bank of India, and has taught at Indian School of Business, National University of Singapore, and Yale School of Management. His recent research focuses on using spatial methods to understand competition between firms, between actively managed funds, and in the venture capital industry. In addition, he has studied director elections and diversity in boards of directors, the FinTech areas of peer to peer lending and robo-advising, the adoption of FinTech by individuals and banks, and several issues in banking including bank runs, monetary transmission, creditor rights, and bank financing of small firms.

//carey.jhu.edu/faculty/faculty-directory/nagpurnanand-prabhala

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