Professor Huafeng (Jason) Chen from University of British Columbia is giving a VGSF research seminar on "Return Comovement" on November 16 (Friday, 15:30-17:00), at the Institute for Advanced Studies(HS II) Stumpergasse 56, 1060 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.

Jason will visit BWZ on Nov 16. If you would like to meet him at BWZ, please let me know as soon as possible.

Kind regards,

Youchang Wu

Abstract We study the pairwise stock return correlations. We find that 90% of the variation in correlations is not explained by the explanatory variables. We also conduct an APT test based on the idea that stocks with high correlations should have similar expected returns. We find evidence consistent with this implication of the APT. Finally, trading stocks that deviate from their comovers is highly profitable.