University of Cambridge > > CERF and CF Events > Momentum and Short-Term Reversals: Theory and Evidence

Momentum and Short-Term Reversals: Theory and Evidence

Add to your list(s) Download to your calendar using vCal

  • UserAvanidhar (Subra) Subrahmanyam (UCLA Anderson School of Management
  • ClockThursday 27 October 2022, 13:00-14:00
  • HouseZoom only.

If you have a question about this talk, please contact Daniel Simmons.

How might short-term reversals and longer-term momentum coexist within markets? To address this question, we develop a dynamic model with liquidity demands and informationprocessing constraints. Specifically, we consider noise traders, and investors who underestimate the quality of information they do not themselves produce. Markets transition from reversals to momentum as lag horizons lengthen. Reversals weaken following earnings announcements. Skipping a month between formation and holding periods increases momentum profits. Larger order flows from retail traders imply stronger reversals. These predictions are supported empirically. If noise demands are positively autocorrelated, price buildups and collapses occur as in recent “meme” stock episodes.

This talk is part of the CERF and CF Events series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.


© 2006-2022, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity