Same-Weekday Momentum
Prof. Zhi Da
Howard J. and Geraldine F. Korth Chair in Finance
Professor of Finance
University of Notre Dame
Date: 07 November 2024 (Thursday)
Time: 10:00 to 11:30
Venue: E22-G013
Host: Prof. Sili ZHOU, Associate Professor in Finance
Abstract
A disproportionately large fraction (70%) of the stock momentum reflects return continuation on the same weekday (e.g., Mondays to Mondays) or the same-weekday momentum. Even after accounting for partial reversals in other weekdays, the same-weekday momentum still contributes to a significant fraction (20% to 60%) of the momentum effect. This pattern is robust to different size filters, weighing schemes, time periods, and sample cuts. The same-weekday momentum is hard to square with traditional momentum theories based on investor misreaction. Instead, we provide direct and novel evidence that links it to within-week seasonality and persistence in institutional trading. Overall, our findings highlight institutional trading as an important driver of the stock momentum.
Speaker
Prof. Zhi Da is the Howard J. and Geraldine F. Korth Chair in Finance and a Professor of Finance at the University of Notre Dame’s Mendoza College of Business. His research focuses on empirical asset pricing and investment. In recent papers, he studied the role of limited investor attention, the behavior of institutional investors, and cash flow risks of financial assets. His papers have been extensively published in top journals including the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis. He is currently serving as an associate editor at several journals including Journal of Finance, Management Science, Journal of Financial and Quantitative Analysis, and Journal of Banking and Finance. Prof. Da has received the 2017 JFQA William F. Sharpe Award for Scholarship in Financial Research, among other research awards and grants. After gaining a BBA and an MSc from National University of Singapore, he worked at the interest rate and exotic derivative trading desk in DBS Bank. He subsequently earned a PhD in Finance from Northwestern University.
All are welcome!
