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.