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Dissecting Cross-Stock Momentum
时 间：2025年12月9日（Tue.）
10:00 - 11:30 a.m.
地 点：同德楼111
主 讲：Jiacui Li (UofUtah)
论文摘要
Aiming to capture underreaction to information, previous studies document cross-stock momentum (CSM) where returns of some stocks predict those of related stocks. Re-examining this literature, we document the puzzling fact that CSM returns tend to revert over time. To understand the source of this reversal, we decompose CSM into two distinct components. The first reflects unidirectional lead-lag effects; it does not revert and derives profits mainly from liquid stocks leading illiquid ones. The second component accounts for the observed reversals and does not exhibit stronger predictability among illiquid stocks. We argue that the first component is consistent with underreaction The second component represents a generalized form of factor momentum and its economic interpretation requires further research.
主讲简介
Jiacui Li is an ssistant professor of David Eccles School of Business, University of Utah. Jiacui studies asset pricing, with a particular focus on “demand-based asset pricing”, which focuses on understanding the effects of demand/supply imbalances on asset prices.
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