Finance Seminar（2013-22）

Topic: An Equilibrium Model of Moving-average Predictability and Time-series Momentum

Speaker: Yingzi Zhu, Tsinghua University

Time: Thursday, 21 November, 10:00-11:30

Location: Room 217, Guanghua Building 2

Abstract: In an equilibrium model with rational informed investors and technical investors, we show that the moving average of past market prices can forecast the future price, explaining the strong predictive power found in many empirical studies. Our model can also explain the time series momentum that the market prices tend to be positively correlated in the short-run and negatively correlated in the long-run.