一,、時(shí)間：4月30日（周三）下午13：30
二,、地點(diǎn)：商學(xué)院214會議室
三,、主講人：李利芳副教授
四、主題：Explaining the relationship between outliers and momentum in corporate bonds: Less bad news is more
五,、內(nèi)容簡介：
The debate on whether momentum in corporate bonds is spurious due to random outlier treatments challenges empirical studies. This paper provides an economic rationale for the outlier and momentum relationship, leveraging corporate bonds' asymmetric reaction to information. For both investment-grade and non-investment-grade bonds, the quick diffusion of bad news through negative outliers identifies "bad" losers with short-lived price trends. Trimming negative outliers during the formation period significantly boosts momentum profitability while mitigating crashes and providing hedging against down markets. Conversely, trimming positive outliers weakens momentum by throwing away "good" winners. This asymmetry cannot be explained by illiquidity or down-market optionality.
六、講座人簡介 
李利芳,，加拿大阿爾伯塔大學(xué)經(jīng)濟(jì)學(xué)博士,，現(xiàn)任西安交通大學(xué)經(jīng)濟(jì)與金融學(xué)院金融系副教授。主要研究方向?yàn)閷?shí)證資產(chǎn)定價(jià)與行為金融學(xué)?，F(xiàn)階段研究興趣為資本市場投資者行為,、公司債券與地方政府債券市場定價(jià)效率等。論文發(fā)表于金融學(xué)國際權(quán)威期刊Review of Finance, Journal of Banking and Finance, Quarterly Review of Economics and Finance等,。主持過一項(xiàng)國家自然科學(xué)基金青年項(xiàng)目,。