报告人： Peixuan Yuan（Renmin University of China）
地点：Room 217, Guanghua Building 2；Tencent Meeting（ID: 935 3935 7603, Passcode: 123456）
Based on large sets of factors and big data methods, we discover a new type of momentum across frequencies and asset classes, which is stronger and more persistent than the widely used and extensively studied Jegadeesh and Titman (1993) (JT) momentum. In particular, we find that the risk component (i.e., the component of stock returns explained by common factors) exhibits a strong intraday risk momentum pattern. Strikingly, it generates a risk-based return momentum: the return on the long-short portfolio of stocks sorted by the risk component exhibits a momentum pattern as well, demonstrating that high systematic risk implies high return even intraday. Moreover, the risk-based return momentum, whose existence appears to stem from limits to arbitrage, holds also daily, weekly and monthly, generating specially a momentum that is crash-free, compared with the JT monthly momentum which is not extendable to intraday.
About the Speaker:
Peixuan Yuan is an assistant professor of finance at Renmin University of China. He received his Ph.D. in Finance from Rutgers University in 2021 and a bachelor’s degree in Engineering from Wuhan University in 2015. His main research areas are empirical asset pricing, derivatives pricing, big data, and machine learning, and his research interests include options, intraday analysis, and return prediction. His single-authored paper has been published in Management Science. His work has been presented at Financial Management Association, SoFiE Annual Conference, Paris December Finance Meeting, and Global AI Finance Research Conference.
Place: offline: Room 217, Guanghua Building 2；online: Tencent Meeting（ID: 935 3935 7603, Passcode: 123456）
Your participation is warmly welcomed!