主题：Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle（战略风险转移与特质波动之谜）
主讲人：张晓燕，普渡大学金融学教授
日期：2014年12月17日（周三）
时间：下午2:00-3:30
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：
We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between idiosyncratic volatility and future stock returns documented by Ang, Hodrick, Xing, and Zhang (2006). First, equity holders of underperformed firms have more incentives to take on high idiosyncratic risk investments. We demonstrate they increase idiosyncratic volatility more when their firms receive negative cash flow shocks, have positive debt or have more long term debt. Second, the strategically increased idiosyncratic volatility reduces the sensitivity of stocks to assets and results in low future stock returns. Only the strategic risk-shifting component of idiosyncratic volatility predicted from the past RoA has a significantly negative impact on future stock returns. Specifically, the risk-shifting component alone explains 66.06 to 89.96% of the negative impact of monthly idiosyncratic volatility on monthly stock returns, which dominates other alternative explanations.
主讲人简介:
Xiaoyan Zhang is Duke Realty Chair Professor of Finance at the Krannert School of Management at Purdue University. Professor Zhang received a B.A. in Economics from Beijing University in 1997, and a PH.D. in Finance from Columbia University in 2002. Prior to joining the Krannert faculty, Professor Zhang was Assistant Professor of Finance at the Johnson School of Management at Cornell University (2002-2010). Professor Zhang's research focuses on portfolio management, short-selling, and international finance. Her papers have appeared in the Journal of Finance, the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis and other leading finance journals. Her article "Which Shorts Are Informed" won the BSI Gamma Foundation Award (2005) and was finalist for Smith-Breeden Award from the Journal of Finance (2007). Her paper "Shackling Short Sellers: The 2008 Shorting Ban" won Best Paper Award at the 16th Mitsui Finance Symposium (2009) at the University of Michigan.
