BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Memento EPFL//
BEGIN:VEVENT
SUMMARY:Does the Investement Model Explain Value and Momentum Simultaneous
 ly?
DTSTART:20171006T103000
DTEND:20171006T120000
DTSTAMP:20260411T071848Z
UID:ce317b17200d83bd75b974fe0c292af400170b1bd18729c00b9da1f7
CATEGORIES:Conferences - Seminars
DESCRIPTION:Lu ZHANG (Ohio State University)\nTwo innovations in the struc
 tural investment model go a long way in explaining value and momentum join
 tly. Firm-level investment returns are constructed from firm-level account
 ing variables\, and are then aggregated to the portfolio level to match wi
 th portfolio-level stock returns. In addition\, current assets form a sepa
 rate production input besides physical capital. The model fits well the va
 lue\, momentum\, investment\, and profitability premiums jointly\, and par
 tially explains the positive stock-investment return correlations\, the pr
 ocyclicality and short-term dynamics of the momentum and profitability pre
 miums\, and the countercyclicality and long-term dynamics of the value and
  investment premiums. However\, the model fails to explain momentum crashe
 s.\n 
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
END:VEVENT
END:VCALENDAR