BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Memento EPFL//
BEGIN:VEVENT
SUMMARY:Overpriced Winners
DTSTART:20170609T103000
DTEND:20170609T120000
DTSTAMP:20260408T002441Z
UID:b54ea77157c6b059f738d41803478a42dbdc7cbce1fc2eb4a054ef9f
CATEGORIES:Conferences - Seminars
DESCRIPTION:Kent DANIEL (Columbia University)\nA strong increase in a firm
 ’s market price over the past year is generally associated with higher f
 uture abnormal returns\, consistent with the momentum  anomaly. However\,
  for a small set of firms for which arbitrage is limited\, high past retur
 ns forecast strongly negative future abnormal returns. We propose a dynami
 c model in which increased unwarranted optimism by a set of speculators le
 ads to dynamic mispricing effects. Consistent with this model\, we show a 
 set of firms with high past returns\, low institutional ownership\, and hi
 gh recent changes in short interest earns persistently low returns going f
 orward. A strategy that goes short the overpriced winners and long other w
 inners generates a Sharpe-ratio of 1.08\; its returns cannot be explained 
 by commonly used risk-factors.\n 
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
END:VEVENT
END:VCALENDAR