講座題目：Retail Investors and Momentum

講座時間：2022年11月10日（星期四）下午15:00-16:30

講座方式：騰訊會議ID：756-462-261

密碼：221112

講座鏈接：https://meeting.tencent.com/dm/fi4vqGfyknVA

主講人：黃大山，華盛頓大學金融學博士，新加坡管理大學李光前商學院副教授，研究興趣包括資產(chǎn)定價、行為金融、大數(shù)據(jù)與機器學習，目前已在Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science等國際頂級期刊發(fā)表論文多篇，另外還有多篇論文在Journal of Finance, Journal of Econometrics，Journal of Financial and Quantitative Analysis等期刊上R&R，研究成果先后獲Emerald最佳論文獎、WRDS最佳論文獎、PwC 3535金融論壇最佳論文獎提名等。

講座簡介：We explore the link between momentum and investing clientele via an identification strategy for retail participation. Specifically, we show that due to a strictly-implemented roundlot restriction, small retail investors are less prone to participating in Chinese stocks with high nominal prices. In turn, there is strong momentum in high-priced stocks, but no momentum on aggregate. Short-term reversals are stronger in low-priced stocks. Institutional holdings enhance momentum. Small investor participation increases and momentum weakens following splits in high-priced stocks. The results support the notion that retail trades contribute to short-term reversals, and attenuate momentum arising from institutional underreaction to long-lived information.