讲座题目：Retail Investors and Momentum

讲座时间：2022年11月10日（星期四）下午15:00-16:30

讲座方式：腾讯会议ID：756-462-261

密码：221112

讲座链接：https://meeting.tencent.com/dm/fi4vqGfyknVA

主讲人：黄大山，华盛顿大学金融学博士，新加坡管理大学李光前商学院副教授，研究兴趣包括资产定价、行为金融、大数据与机器学习，目前已在Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science等国际顶级期刊发表论文多篇，另外还有多篇论文在Journal of Finance, Journal of Econometrics，Journal of Financial and Quantitative Analysis等期刊上R&R，研究成果先后获Emerald最佳论文奖、WRDS最佳论文奖、PwC 3535金融论坛最佳论文奖提名等。

讲座简介：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.