Adlai Fisher from University of British Columbia is giving a VGSF research seminar on
"Conditional Risk, Overconditioning, and the Performance of Momentum Strategies"
on September 7, Friday, from 15:30 to 17:00, at HS 3, BWZ, Bruennerstrasse 72, A-1210
Vienna. See the VGSF webpage (Activities & Events--> Research Seminars) for a map
of the location, and the paper to be presented.
The abstract of the paper is attached below.
Best,
Youchang
Abstract:
Recent empirical studies evaluate the performance of investment strategies using
contemporaneously measured loadings to proxy for conditional risk. We demonstrate that
such procedures lead to potentially large biases in alpha when payoffs are nonlinear. We
combine lagged portfolio and component realized betas with standard instruments to improve
performance analysis, and .nd that conditioning information reduces momentum alphas by
20-40% relative to unconditional estimates. Overconditioned alphas are up to 2:5 times
larger than appropriately conditioned measures.