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SUMMARY:Momentum and Short-Term Reversals: Theory and Evidence - Avanidhar
  (Subra) Subrahmanyam (UCLA Anderson School of Management
DTSTART:20221027T120000Z
DTEND:20221027T130000Z
UID:TALK175172@talks.cam.ac.uk
CONTACT:Daniel Simmons
DESCRIPTION:How might short-term reversals and longer-term momentum coexis
 t within markets? To\naddress this question\, we develop a dynamic model w
 ith liquidity demands and informationprocessing constraints. Specifically
 \, we consider noise traders\, and investors who underestimate the qualit
 y of information they do not themselves produce. Markets transition\nfrom 
 reversals to momentum as lag horizons lengthen. Reversals weaken following
  earnings announcements. Skipping a month between formation and holding p
 eriods increases\nmomentum profits. Larger order flows from retail traders
  imply stronger reversals. These\npredictions are supported empirically. I
 f noise demands are positively autocorrelated\, price\nbuildups and collap
 ses occur as in recent “meme” stock episodes.
LOCATION:Zoom only
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