【报告摘要】Bond peer momentum (PM), the average return of economically linked bonds, strongly predicts one-month-ahead excess returns. Across firm linkages, the shared-analyst network is most informative and subsumes alternative PMs. A long–short strategy based on this signal earns 0.45% per month, with alphas unexplained by standard bond and stock factor models and robust across samples, characteristics, and return measures. The predictability is concentrated among co-held bonds and is stronger when trading frictions are high, supporting a flow-based limits-to-arbitrage channel rather than limited attention. Compared with stocks, bond PM delivers comparable Sharpe ratios, lower crash risk, and shorter persistence.

【报告人简介】王军波，香港城市大学经济与金融系教授、系主任、博士生导师，国家基金委海外杰青获得者。美国雪城大学金融学博士和中国科学院管理学博士，曾在美国雪城大学、阿肯色大学任教。主要从事资本资产定价和价格发现的研究，发现了一系列经济意义明确、解释力强、预测效果显著的定价因子；系统改进了传统的资本资产定价模型和债券期限结构模型；揭示了交易规则、报价方式、评级调整等对价格发现的影响。

王军波教授多次获得香港城市大学最佳研究奖和最佳博士生导师奖，在国际金融学主流期刊上发表学术文章50余篇，其中包括在Journal of Finance、Journal of Financial Economics、Journal of Financial and quantitative Analysis、Managemen t Science等国际顶级期刊发表论文多篇，论文多次获得国际金融会议/杂志的最佳论文奖。