| SEMINAR ŞTIINŢIFIC MONEDA, FINANŢE, BĂNCI – SEMINAR ȘTIINȚIFIC |
A Unified Framework for Anomalies based on Daily Returns
Marți, 19 mai 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Adam Zaremba
MBS School of Business & Poznan University of Economics and Business & Monash University; adam.zaremba@ue.poznan.pl
Abstract:
Numerous cross-sectional equity anomalies draw on the same underlying information: the sequence of daily returns over the previous month. Using a data-driven approach, we estimate the empirical mapping from the distribution of last month’s daily returns to future performance without imposing functional forms. The resulting Daily Return Information Factor (DRIF) earns economically large premia, holds across subsamples and research designs, and remains significant after controlling for the modern factor zoo. DRIF subsumes most short-horizon and lottery-style anomalies and emerges as a key factor in asset pricing tests.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
TBA
Marți, 26 mai 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Alexandru Todea
Facultatea de Stiinte Economice si Gestiunea Afacerilor, Universitatea Babes Bolyai; alexandru.todea@econ.ubbcluj.ro
Abstract:
TBA.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD