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​Capital Market Anomalies and Quantitative Research


Date/Time: 13-Nov-2018 1030hrs - 1200hrs
Venue:
Contact Information: Asst Prof Byeong-Je AN



​Date: Tuesday, 13 November 2018
Time: 10.30 am – 12.00 pm
Venue: Executive Seminar Room 5 (S3.1-B1-07)

Chairperson:  Asst Prof Byeong-Je AN
 
Abstract
Quantitative research analysts (Quants) produce in-depth quantitative and econometric modeling of market anomalies to assist sell-side analysts and institutional clients with stock selection strategies. Quant-backed analysts exhibit more efficient forecasting behavior on anomaly predictors — stock recommendations and target prices on anomaly-longs (anomaly-shorts) are more (less) favorable. Investment value of such analysts’ research is higher and their research reports are more likely to discuss quantitative modeling and market anomalies. Quant research facilitates “smart money” trades of institutional clients on anomaly stocks — Quants are associated with an increased (decreased) likelihood of purchasing underpriced (overpriced) stocks unconditionally and in response to fund inflows. Thematic reports authored by Quants generate abnormal reactions for corresponding stocks, suggesting that market participants recognize quantitative research. Finally, we provide evidence that, all else equal, cross-sectional return predictability of anomaly long-short strategies is attenuated for stocks with increased Quant coverage. Overall, the evidence is consistent with Quants adding value to financial markets, and consequently, increasing market efficiency with respect to anomaly predictors.

About the Speaker
Birru is an associate professor of Finance at the Fisher College of Business at The Ohio State University. His research interests include behavioral asset pricing and behavioral corporate finance. He earned a BS in Finance from the University of Pittsburgh in 2006 and a Ph.D. in Finance from NYU Stern School of Business in 2012. His research has been published in leading academic financial journals and has been presented in many conferences and seminars. 

 
For registration, further information and enquiries, please contact Florence at amlcher@ntu.edu.sg or telephone: 67906354.



Published on: 07-Nov-2018

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