Seminars 2007 — Abstracts
Friday, August 24
Speaker:
Songyang Guo,
Monash
Title:
Comovement Arbitrage
Abstract: We mimic stock style portfolios by sorting stocks based on comovements of lagged
returns. The findings document strong evidence for style-level contrarian and
momentum effects. Arbitrage contrarian portfolios at one-month horizon earn
up to 9.47 percent per month, which cannot be explained by their systematic
risk. Momentum strategies, however, appear to be highly profitable on the most
representatives of their styles at longer horizons.
