题目：Accounting Anomalies Enhanced: A Dynamic Trading Strategy

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

　　时间：2017年6月27日(周二)9:30~11:00

　　地点：经管院B226

　　主办方：betway必威金融系、大数据驱动的投资管理研究团队

　　报告摘要如下：

　　Many anomalous portfolios are based on annual accounting characteristics and are rebalanced yearly, ignoring any information during the year. In this paper, we provide a simple dynamic trading strategy to incorporate performance information to rebalance the portfolio monthly. For eight major anomalies, we find that the monthly rebalancing portfolios substantially enhance the original anomalies, nearly doubling the average returns while having similar or lower risks. The results are robust to a number of controls. Our findings indicate that annual information can be more profitable than previously thought, yielding new challenges for their theoretical explanations.

　　报告人简介：

　　Yufeng Han, associate 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.