一、时间：4月30日（周三）下午13：30
二、地点：商学院214会议室
三、主讲人：李利芳副教授
四、主题：Explaining the relationship between outliers and momentum in corporate bonds: Less bad news is more
五、内容简介：
The debate on whether momentum in corporate bonds is spurious due to random outlier treatments challenges empirical studies. This paper provides an economic rationale for the outlier and momentum relationship, leveraging corporate bonds' asymmetric reaction to information. For both investment-grade and non-investment-grade bonds, the quick diffusion of bad news through negative outliers identifies "bad" losers with short-lived price trends. Trimming negative outliers during the formation period significantly boosts momentum profitability while mitigating crashes and providing hedging against down markets. Conversely, trimming positive outliers weakens momentum by throwing away "good" winners. This asymmetry cannot be explained by illiquidity or down-market optionality.
六、讲座人简介 
李利芳，加拿大阿尔伯塔大学经济学博士，现任西安交通大学经济与金融学院金融系副教授。主要研究方向为实证资产定价与行为金融学。现阶段研究兴趣为资本市场投资者行为、公司债券与地方政府债券市场定价效率等。论文发表于金融学国际权威期刊Review of Finance, Journal of Banking and Finance, Quarterly Review of Economics and Finance等。主持过一项国家自然科学基金青年项目。