7th Online Seminar in Finance: Pedro Barroso (Católica-Lisbon School of Business)
The Institute of Finance at PUEB is pleased to announce the 7th Online Seminar in Finance.
Speaker: Pedro Barroso (Católica-Lisbon School of Business)
Date: March 31st, 2023, 11:00 (Warsaw time)
Title: Facts, Momentum and Factor Momentum
Abstract: Factor momentum recently joined the ongoing debate over the causes of stock momentum. According to this explanation, momentum in well-known “off-the-shelf” factors – or in principal component factors responsible for large commonalities in stock returns – greatly subsumes momentum in individual stocks. We find that neither form of factor momentum can explain any previously proposed momentum driver; conversely, all other drivers combined can subsume both forms of factor momentum. Also, compared to previous drivers, factor momentum does not exhibit superior performance in capturing other momentum-like anomalies. Like the competing models, it cannot explain stock momentum conditionally. Moreover, it cannot explain stock momentum after accounting for transaction costs while these can explain the persistence of factor momentum, especially in less systematic factors.
Speaker’s bios: Pedro Barroso is a Finance Associate Professor at Católica-Lisbon School of Business and Economics. Before he held positions as (tenured) Senior Lecturer at UNSW in Sydney and Lecturer at University of Exeter (UK). He was also a visiting scholar at Bayes Business School (formerly Cass) in the city of London. Pedro holds a Finance PhD from Nova SBE, a 'Mestrado’ (MSc) in International Economics and a 'Licenciatura’ (MA) in Economics, both from ISEG. Pedro’s work is mainly in empirical asset pricing / investments, anomalies, risk management, the foreign exchange market, and portfolio management. Pedro’s research has been published (by chronological order) at the Journal of Financial and Quantitative Analysis, the Journal of Financial Economics, Management Science, and the Review of Financial Studies. Besides research and teaching, Pedro has provided extensive consulting services for a derivatives exchange.
To register, please click here: https://forms.gle/2TjSUhUCA23nCFDG9*
Registration deadline: March 29th, 20:00 (Warsaw time). The invitation to the Teams webinar will be sent on March 30th.
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