暨南国际大学柯冠成教授讲座通知

2018-01-12 08:07
      柯冠成教授为暨南国际大学财务金融系教授,现任台湾财务工程学会副秘书长。教授课程为投资学、个人财务管理与共同基金管理等。研究领域为资产定价、投资学与行为财务学。学术论文发表于Journal of Banking and Finance、Journal of Financial Markets、Journal of Empirical Finance、Pacific-Basin Finance Journal、Quantitative Finance、International Review of Finance、International Review of Economics & Finance、Economic Letters、Asia-Pacific Journal of Financial Studies与Review of Quantitative Finance and Accounting等期刊。
      讲座时间:2018年1月15日(周一)上午10:30
      讲座地点:管理楼G216
      讲座题目:Asset Growth, Style Investing, and Momentum
      讲座摘要:
      We establish a significant and robust connection between asset growth (AG) and style investing by showing that past style returns constructed based on AG and size significantly predict future stock returns. Motivated by this notion, we propose a style momentum strategy based on AG and size and find that it dominates price momentum and size-BM style momentum in generating momentum profits. We examine two competing explanations for this predictability, including the style-chasing hypothesis and the limited-attention theory. Empirical evidence shows that the AG-based style momentum profit is induced because investors neglect to use AG as an investment style, consistent with the limited-attention explanation but not the style-chasing hypothesis. Furthermore, we show that the profitability of the AG-based style momentum is robust to different time periods partitioned by several time-series predictors, including business cycles, market states, market volatilities, and investor sentiment.
      欢迎感兴趣的老师和同学参加。

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