What Drives Momentum and Reversal? Evidence from Day and Night Signals

Vincent Bogousslavsky of Boston College Carroll School of Management presents his paper, "What Drives Momentum and Reversal? Evidence from Day and Night Signals" followed by discussion by Sophia Zhengzi Li of Rutgers Business School at the Jacobs Levy Center's 2022 Frontiers in Quantitative Finance Conference.
Led by Professors Chris Geczy, PhD, C'90 and Craig MacKinlay, PhD and established through the vision and generosity of Bruce Jacobs, PhD, G'79, GRW'86 and Ken Levy, WG'76, G'82, the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School of the University of Pennsylvania is dedicated to the advancement of quantitative finance, at the intersection of theory and practice, through the creation and dissemination of innovative knowledge.