{"id":150280,"date":"2023-11-13T11:40:31","date_gmt":"2023-11-13T10:40:31","guid":{"rendered":"https:\/\/www.ieseg.fr\/?post_type=events&#038;p=150280"},"modified":"2023-11-13T11:40:33","modified_gmt":"2023-11-13T10:40:33","slug":"research-seminar-finance-bianchi","status":"publish","type":"events","link":"https:\/\/www.ieseg.fr\/en\/events\/research-seminar-finance-bianchi\/","title":{"rendered":"[Research Seminar] Finance: &#8220;Taming Momentum Crashes&#8221; D. BIANCHI &#8211; Queen Mary University of London"},"content":{"rendered":"<div class=\"wp-block-image\">\n<figure class=\"aligncenter\"><img loading=\"lazy\" width=\"880\" height=\"250\" src=\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche.jpg\" alt=\"\" class=\"wp-image-133330\" srcset=\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche.jpg 880w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche-300x85.jpg 300w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche-768x218.jpg 768w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche-150x43.jpg 150w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche-400x114.jpg 400w\" sizes=\"(max-width: 880px) 100vw, 880px\" \/><\/figure><\/div>\n\n\n<p class=\"has-text-align-center\"><strong>Speaker: Daniele BIANCHI<br><\/strong>Queen Mary University of London<\/p>\n\n\n\n<p class=\"has-text-align-center\"><strong>Date and Location &#8211; Thursday November 16th 2023 from 14:00 to 15:30<br>in Lille campus (B252) and on Zoom<\/strong><\/p>\n\n\n\n<p class=\"has-text-align-center\">&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8211;<\/p>\n\n\n\n<h2>ABSTRACT<\/h2>\n\n\n<div class=\"wp-block-image\">\n<figure class=\"alignleft\"><img loading=\"lazy\" width=\"400\" height=\"400\" src=\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Finance-research-seminar.jpg\" alt=\"\" class=\"wp-image-133336\" srcset=\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Finance-research-seminar.jpg 400w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Finance-research-seminar-300x300.jpg 300w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Finance-research-seminar-150x150.jpg 150w\" sizes=\"(max-width: 400px) 100vw, 400px\" \/><\/figure><\/div>\n\n\n<p>The returns on conventional momentum portfolios exhibit a predominantly negative, time-varying skewness which deepens during the so-called &#8220;momentum crashes&#8221;. This has important implications for the dynamics of the risk-return trade-off associated with momentum investing: the relation between the portfolio expected return and its volatility is time-varying and depends on the conditional skewness of the returns. We explore the economic value of accounting for time-varying skewness to measure momentum risk by comparing the performance of different risk-managed momentum portfolios. A dynamic, skewness-adjusted maximum Sharpe ratio strategy significantly improves upon popular volatility-scaling approaches. Finally, we show that the dynamics of skewness in momentum returns cannot be fully reconciled with an asymmetric exposure to upside and downside market risk.<\/p>\n\n\n\n<p><a href=\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2023\/11\/abstract-Daniele-Bianchi.pdf\" target=\"_blank\" rel=\"noreferrer noopener\"><strong>More<\/strong> Info<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Speaker: Daniele BIANCHIQueen Mary University of London Date and Location &#8211; Thursday November 16th 2023 from 14:00 to 15:30in Lille campus (B252) and on Zoom &#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8211; ABSTRACT The returns on [&hellip;]<\/p>\n","protected":false},"featured_media":0,"template":"","events-category":[200,66,166],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v19.2 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>[Research Seminar] Finance: &quot;Taming Momentum Crashes&quot; D. 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