主题： Manager Sentiment and Stock Returns（经理人情绪与股票回报）
主讲人：姜富伟，中央财经大学金融学助理教授
日期：2015年11月4日（周三）
时间：上午10:00-11:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
In this paper,
we construct a manager sentiment index based on the aggregated textual tone of
conference calls and financial statements. We find that manager sentiment is a
strong negative predictor of future aggregate stock market returns, with
monthly in sample and out-of-sample R2 of 9.75% and 8.38%, respectively, which
is far greater than the predictive power of other previously-studied
macroeconomic variables. Its predictive power is also stronger than and is
complimentary to the popular investor sentiment indexes. Moreover, manager
sentiment also negatively predicts future aggregate earnings and
cross-sectional stock returns, particularly for those firms that are either
hard to value or difficult to arbitrage.
主讲人简介:
Fuwei Jiang is
Assistant Professor of Finance at School of Finance, Central University of
Finance and Economics. Dr. Jiang received a Master and a Ph.D. in Finance from
Lee Kong Chian School of Business, Singapore Management University. His main
research interests are asset pricing, return predictability, investment,
behavioral finance and entrepreneurial finance. Also, he teaches Empirical
Methods in Finance and Financial Markets and Institutions for CUFE
undergraduate, MSc. and Ph.D. Furthermore, his papers have appeared in Review of Financial Studies, Journal of
Portfolio Management, Journal of Financial Research and other finance
journals.
