Short-Run Momentum and Long-Run Reversal When Investors Overestimate Their Similarities
报告人：周德清
报告地点：腾讯会议ID: 695348841
报告时间：2024年11月23日星期六09:00-10:00
邀请人：刘红
报告摘要：
When investors overestimate the common noise term in private signals, early price underreacts to the aggregate private information. In contrast, when public information arrives, the later price would overreact to it. This induces the short run momentum and long run reversal in price movement. Our result is robust to various model specifications.
主讲人简介：
周德清，男，中央财经大学金融学院 副教授
研究方向为市场微观结构模型，包括行为金融与内幕交易理论模型。发表SSCI学术期刊论文十多篇， 包括 Economics Letters, Economic Modelling, International Review of Economics and Finance, International Review of Finance, Finance Research Letters, North American Journal of Economics and Finance, Acta Mathematicae Applicatae Sinica, 出版学术专著四部。主持国家自科基金一项，学校 青年创新团队项目一项。
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