Momentum in the US Corporate Bond Markets, Information and Outliers
讲座名称：
Momentum in the US Corporate Bond Markets, Information and Outliers
讲座时间：
2021-05-08
讲座人：
Valentina Galvani
形式：
校区：
兴庆校区
实践学分：
讲座内容：
报告题目：Momentum in the US Corporate Bond Markets, Information and Outliers
报告时间：5月8日（周六）上午10:00
报告地点：腾讯会议：927 495 437
报告人：Dr. Valentina Galvani
报告内容：
The seminar will discuss the effect of outliers on financial economics empirical research focusing on the profitability of the momentum investment strategy in the US corporate bond market (Galvani and Li, 2021). Transaction-level (TRACE) data shows that momentum profitability crucially depends on outliers. Outlier trimming vanishes momentum returns, whereas winsorization yields a robust but conservative assessment of the momentum effect. Consistent with bond prices being more responsive to unfavorable shocks, negative (positive) outliers tend to increase (decrease) momentum profitability, indicating that outliers are not data errors that should simply be trimmed. Volume filters show that momentum profits during the 2007-2009 crisis were due to the activities of small investors. The results will be put in the context of recent discoveries on the effect of information diffusion in corporate bonds (Li and Galvani, RF, 2021).
主办单位：
经济与金融学院
2021年4月30日
相关视频