题目：Dissecting Cross-Stock Momentum（理解跨股动量）
摘要：Aiming to capture underreaction to information, previous studies document cross-stock momentum (CSM) where returns of some stocks predict those of related stocks. Re-examining this literature, we document the puzzling fact that CSM returns tend to revert over time. To understand the source of this reversal, we decompose CSM into two distinct components. The first reflects unidirectional lead-lag effects; it does not revert and derives profits mainly from liquid stocks leading illiquid ones. The second component accounts for the observed reversals and does not exhibit stronger predictability among illiquid stocks. We argue that the first component is consistent with underreaction The second component represents a generalized form of factor momentum and its economic interpretation requires further research.
主讲人简介：Jiacui Li graduated from Stanford GSB in 2019 and has worked since as an assistant professor at David Eccles School of Business, University of Utah. His current research primarily focuses on “demand-based asset pricing” which aims to understand how demand and supply impact equilibrium asset prices. His articles have been published in journals such as Review of Financial Studies and Journal of Financial Economics.
摘要：Aiming to capture underreaction to information, previous studies document cross-stock momentum (CSM) where returns of some stocks predict those of related stocks. Re-examining this literature, we document the puzzling fact that CSM returns tend to revert over time. To understand the source of this reversal, we decompose CSM into two distinct components. The first reflects unidirectional lead-lag effects; it does not revert and derives profits mainly from liquid stocks leading illiquid ones. The second component accounts for the observed reversals and does not exhibit stronger predictability among illiquid stocks. We argue that the first component is consistent with underreaction The second component represents a generalized form of factor momentum and its economic interpretation requires further research.
主讲人简介：Jiacui Li graduated from Stanford GSB in 2019 and has worked since as an assistant professor at David Eccles School of Business, University of Utah. His current research primarily focuses on “demand-based asset pricing” which aims to understand how demand and supply impact equilibrium asset prices. His articles have been published in journals such as Review of Financial Studies and Journal of Financial Economics.
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