报告题目：Momentum in the US Corporate Bond Markets, Information and Outliers

报告人：Dr. Valentina Galvani

时  间：5月8日（周六）上午10:00

腾讯会议：927 495 437

报告人简介：

Dr. Valentina Galvani is a tenured associate professor in the Economics Department at the University of Alberta (Canada). She holds a doctoral degree in Economics (Krannert School of Business, Purdue University) and one in Mathematical Finance (University of Milan-Bicocca/Univ. of Brescia, Italy). She joined the University of Alberta in 2005 and has served as the associate chair of the department since 2015. Her main focus of research is information diffusion in the corporate bond market, value investing, and securities taxation. Her research is published in various scholarly journals, among which Review of Finance, Journal of Banking and Finance, Finance Research Letters, Energy Economics, Review of Quantitative Finance and Accounting, and Journal of Mathematical Economics. She has repeatedly presented her work at several scholarly venues, among which the annual societal meetings of the Midwest Finance Association and the Finance Management Association. She served as principal investigator for twelve research projects partnered with Canadian financial institutions (2015-current), a Social Sciences and Humanities Research Council grant, and three Killam Research Fund Cornerstone grants.

摘要：

The seminar will discuss the effect of outliers on financial economics empirical research focusing on the profitability of the momentum investment strategy in the US corporate bond market (Galvani and Li, 2021). Transaction-level (TRACE) data shows that momentum profitability crucially depends on outliers. Outlier trimming vanishes momentum returns, whereas winsorization yields a robust but conservative assessment of the momentum effect. Consistent with bond prices being more responsive to unfavorable shocks, negative (positive) outliers tend to increase (decrease) momentum profitability, indicating that outliers are not data errors that should simply be trimmed. Volume filters show that momentum profits during the 2007-2009 crisis were due to the activities of small investors. The results will be put in the context of recent discoveries on the effect of information diffusion in corporate bonds (Li and Galvani, RF, 2021).

经济与金融学院

2021年4月30日