题目：Momentum, Reversal, and the Firm Fundamental Cycle

　　报告人：Yufeng Han，University of North Carolina at Charlotte，Professor

　　时间：2019年7月5日(周五) 10:00～11:30

　　地点：经管院B255

　　报告摘要：

　　We link momentum and long-run return reversal to the cyclic behavior of firm fundamentals, which are represented by a fundamental index that summarizes succinctly and efficiently a broad range of business activities at firm level. In responding to repeated unanticipated positive (negative) shocks in fundamentals, investors continue to raise (lower) prices for winner (loser) firms, yielding momentum. However, due to the cyclicality of firm fundamentals, the unanticipated positive (negative) shocks decrease in magnitude overtime and eventually reverse, generating the reversal pattern. In addition, we find that firm fundamentals can explain stronger momentum in microcap stocks, and a long/short decile portfolio based on the firm fundament index outperforms the popular momentum portfolio substantially by doubling the Sharpe ratio and does not suffer crashes either.

　　报告人简介：

　　Yufeng Han, Professor of Belk College of Business University of North Carolina at Charlotte. He obtained Finance Ph. D. in John M. Olin School of Business, Washington University in St. Louis. His papers have been published on Journal of Financial Economics, Review of Financial Studies, Journal of Banking and Finance, Applied Financial Economics, Journal of Financial and Quantitative Analysis and Real Estate Economics.