오는 9월 16일에 예정된 수요세미나 일정을 안내드립니다.

- 일시 및 장소: 2026년 9월 16일 (수) 12:00 - 13:00, 다산경제관 32210호

- 발표자: 김지현 교수님 (성균관대학교)

- 논문 제목: Momentum, Reversal and Systematic Delay

- 초록: Factor-pricing tests can miss systematic delay: they ask whether expected returns are explained by systematic risk exposures, but not whether realized systematic information is incorporated into stock prices immediately or with a lag. We develop a latent dynamic factor model that separates contemporaneous from delayed systematic adjustment by combining projected PCA with canonical correlation analysis. The framework yields a systematic-delay portfolio that exploits predictable delayed adjustment while hedging contemporaneous factor exposure, together with a firm-level measure of systematic delay. Applied to U.S. equities, the portfolio earns an annualized Sharpe ratio of 1.64 and a Fama-French six-factor alpha of 2.40\% per month. Its alpha remains large after controlling for existing delay measures, industry-based predictability, and anomaly portfolios. Firm-level systematic delay is greater among less liquid stocks and declines more for low-priced stocks following decimalization, consistent with trading frictions slowing the incorporation of systematic information.