【主题】趋势因子：横截面股票收益的新的判定

【主讲人】Guofu Zhou,教授，美国华盛顿大学

【时间】2013-6-27(周四）13:45—15:15

【地点】清华经管学院伟伦楼501

【语言】英语

【主办】金融系

【目标听众】博士生，硕士生以及经管学院教师

【Background Information】

Guofu if\s Frederick Bierman and James E. Spears Professor of Finance at Olin Business School(OBS), Washington University.His teaching and research interests include asset pricing tests, asset allocation, portfolio optimization, Bayesian learning and model evaluations, econometric methods in finance, futures, options, derivatives, the term structure of interest rates, and the real option valuation of corporate projects. Prior to joining OBS in 1990, he studied at Duke University for his PhD in economics and MA in mathematics, at Academia Sinica for his MS in numerical analysis and at Chengdu College of Geology for his BS.

【Abstract】

In this paper, we propose a trend factor to capture cross-section stock price trends. In contrast to the popular momentum factor constructed by sorting stocks based on a single criterion of past year performance, we form our trend factor with a cross-section regression approach that makes use of multiple trend indicators containing daily, weekly, monthly and yearly information. We find that the average return on the trend factor is 1.61% per month, more than twice of the momentum factor. The Sharpe ratio is more than twice too. Moreover, during the recent financial crisis, the trend factor earns 1.65% per month while the momentum factor loses 1.33% per month. The trend factor return is robust to a variety of control variables including size, prior month return, book-to-market, idiosyncratic volatility, liquidity, etc., and is greater under greater information uncertainty. In addition, the trend factor explains well the cross-section decile portfolio returns sorted by short-term reversal, momentum, and long-term reversal as well as various price ratios (e.g. E/P), and performs much better than the momentum factor.