Speaker: Dr Pedro Barroso (Católica-Lisbon School of Business and Economics)
Hosted by: University of Liverpool Management School's Accounting and Finance Group
Open to: all University of Liverpool staff and students, with no sign up needed
Date: Wednesday 31 January 2024
Time: 3-4.30pm
Place: Management School - Seminar Room 5
Abstract
Previous work posits that momentum and the related 52-week-high anomaly are both explained by factors proxying for mispricing and by the risk-based q-factor theory.
We note recent tests subsuming the anomalies are unconditional exercises while the bulk of momentum profits are predictable and occur in bull markets and after periods of low volatility.
Comparing asset pricing models conditionally, when the strategies actually work, we find the unconditional fit is misleading. The models fit well most of the time but not when the profits are produced.
Noticeably, q-theory implies time-varying loadings that are not consistent with the data. Yet, consistent with an underreaction channel, earnings announcement returns and analyst forecast errors both decrease steeply with lagged volatility.
Co-authored by Pedro Barroso and Haoxu Wang.
Keywords
Conditional Asset Pricing; Momentum; 52-week high; Investor Underreaction; Investment CAPM; Momentum Risk; Market States
Speaker
Pedro Barroso is an Associate Professor at Católica-Lisbon School of Business and Economics. Before he held positions as Senior Lecturer (tenured) at UNSW in Sydney and Lecturer at University of Exeter (UK).
Pedro did his PhD in Finance at Nova SBE (Lisbon, Portugal). His main research interests are in empirical asset pricing, anomalies, risk management, the foreign exchange market, and portfolio management.
His work has been published in the JFE and in the JFQA. His most known work is on managing the risk of momentum strategies.
Pedro regularly serves as referee for all top journals of finance, for Management Science, and for multiple top journals in economics (JME, JIE, and others).
Besides research, he worked as a consultant for a derivatives exchange designing risk management systems.
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