| 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.
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Biography:
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Zhi Da is a Professor of Finance. His research focuses on empirical asset pricing and investment. In recent papers, he studied the returns on financial assets surrounding liquidity events, cash flow risks of financial assets, equity analyst forecasts, and the mutual fund performance. He was a finalist for the Lehman Brothers Fellowship for Research Excellence in Finance (2005). Zhi also received competitive research grants from Moody’s KMV and Morgan Stanley. He teaches an elective course on debt instruments at Notre Dame. 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.
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