Seminar 217, Risk Management: A Deep Learning Investigation of One-Month Momentum

Risk Seminar
Sep 25, 2018 11:00am to 12:30pm
1011 Evans Hall
Happening As Scheduled
The one-month return reversal in equity prices was first documented by Jedadeesh (1990), who found that there was a highly significant negative serial correlation in the monthly return series of stocks. This is in contrast to the positive serial correlation of the annual stock returns. Explanations for this effect differ, but the general consensus has been that the trailing one-month return...
Speaker: Ben Gum, AXA Rosenberg (Speaker - Featured)