Frontaler Blick auf das D4 Gebäude.

Brown Bag Seminar - Paul Hübner

21. September 2023

Wir freu­en uns, für 21. Sep­tem­ber 2023, ein Brown Bag Se­mi­nar an­kün­di­gen zu kön­nen.

Als Vor­tra­gen­den dür­fen wir Paul Hüb­ner (Stock­holm School of Eco­no­mics) be­grü­ßen.

Er wird sein Paper "The Ma­king of Mo­men­tum: A Demand-​System Per­spec­ti­ve" vor­stel­len.

Abs­tract: I de­ve­lop a frame­work to quan­ti­fy which fea­tures of in­ves­tors’ tra­ding stra­te­gies lead to mo­men­tum in equi­li­bri­um. Spe­ci­fi­cal­ly, I dis­tin­guish two chan­nels: per­sis­tent de­mand shocks, cap­tu­ring un­der­re­ac­tion, and the term struc­tu­re of de­mand elasti­ci­ties, re­p­re­sen­ting an in­ten­si­ty of ar­bi­tra­ge ac­ti­vi­ty that de­crea­ses with in­ves­tor ho­ri­zon. I in­tro­du­ce both aspects of dy­na­mic tra­ding into an asset de­mand sys­tem and disci­pli­ne the model using the joint be­ha­vi­or of port­fo­lio hol­dings and pri­ces. I esti­ma­te the de­mand of in­sti­tu­tio­nal in­ves­tors in the U.S. stock mar­ket bet­ween 1999 and 2020. On aver­age, in­ves­tors re­spond more to short-​term than longer-​term price chan­ges: the term struc­tu­re of elasti­ci­ties is downward-​sloping. My esti­ma­tes sug­gest that this chan­nel is the pri­ma­ry dri­ver of mo­men­tum re­turns. Mo­reo­ver, in the cross-​section, stocks with more in­ves­tors with downward-​sloping term struc­tu­res of elasti­ci­ties ex­hi­bit stron­ger mo­men­tum re­turns by 7% per year.


Das Brown Bag Se­mi­nar fin­det am 21. Sep­tem­ber 2023 von 13:00-14:00 Uhr im Raum D3.0.218 statt.

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