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SQA December 11th Seminar/Holiday Party
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When: Tuesday, December 11, 2018

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SQA December 11th Seminar




Danling Jiang


Location: Stout
133 West 33rd Street, NY, NY 10001


Mood Beta and Seasonalities in Stock Returns

Join us for an evening with Professor Jiang who will discuss her research on moody investors.

Just the thing to get us into the holiday spirit!


Summary: Existing research has found seasonality in cross-sectional stock returns – the periodic outperformance of certain stocks during the same calendar months or weekdays. Professor Jiang and her co-authors propose a theory based upon investor mood shifts to explain these effects, and document new forms of seasonality.

In their model, assets differ in their sensitivities to investor mood, i.e., they have mood betas. During periods with positive mood shifts, stocks which have higher betas to ascending mood earn higher average returns; the converse is true during periods of negative mood shifts. They also find "congruent mood recurrence" and "non-congruent mood reversal" effects, which explain cross-sectional return seasonality. E.g., stocks which out-perform in January (a high investor mood month) tend to do better again during the same month in the future because there is a congruent mood at the time. However, these same stocks tend to under-perform in during the month of October (a low mood month) for the next several years.

Prof Jiang's findings imply a novel set of trading strategies that may improve asset allocation and portfolio management.


Biography: Professor Jiang's research integrates economics, psychology, political science, and sociology into the field of finance. Her work has focused on investments, asset pricing, corporate finance, and financial decision-making from a behavioral approach. Professor Jiang has published in a wide range of leading journals, including Review of Financial Studies, Management Science, Organizational Behaviour and Human Decision Processes, Journal of Financial and Quantitative Analysis, Review of Finance, Review of Accounting Studies, and Financial Analysts Journal.

Professor Jiang is Professor of Finance at the College of Business, Stony Brook University. She was previously Associate Professor of Finance at the College of Business, Florida State University. She has served as a reviewer for several journals in finance, economics, management, and psychology. She also serves on the Advisory Council for the Financial Analysts Journal. Dr. Jiang received a PhD in finance from The Ohio State University.



Read Paper Here



5:30 p.m. Cocktails & Networking

6:00 p.m. Presentation

7:00 p.m.Cocktails & Networking



SQA Members: Regular or Academic - $50
Transitional or Student - $30
Non-Member Affiliated - $70
Non-members - $90


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1) Join the SQA email list or join SQA as member

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3) Register for event (and see relevant pricing)


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