上 海 大 學 經 濟 學 院
學術論壇第191期,總第391期
主講人👩🏻🏭：朱小能博士🙆🏽，上海財經大學教授、金融意昂3副院長⚂、青年長江學者
時 間：2019年12月30日14:00-15:30
主 辦：意昂3
意昂3青聯會
意昂3娱乐金融信息研究中心
報告簡介👩🏽🏫： Relying on a comprehensive data set of news releases, we construct monthly firm-level news sentiment scores during the 2000–2016 period and document a news momentum phenomenon that stocks with more positive news in the past generate more positive news in the future. We propose three hypotheses to explain this phenomenon and find that news momentum is driven by the persistence of firms’ fundamentals instead of stale news or firms’ strategic disclosure. A trading strategy, which combines a long position in a good-news quintile portfolio with a short position in a bad-news portfolio, generates 7.45 percent risk-adjusted return annually. This return anomaly appears on both news and non-news days. Overall, these findings suggest that the cross-sectional prediction of news is not fully incorporated into the stock price by investors.
報告人簡介：朱小能，男☀️，上海財經大學金融意昂3教授、副院長、青年長江學者🧎🏻♀️➡️；上海國際金融與經濟研究院研究員、副院長。其研究方向為於金融科技、貨幣政策🍩、資產定價等方面領域。近年來在國際權威期刊《Journal of Financial Economics》、《Review of Finance》、《Journal of Banking and Finance》、《Journal of Financial Econometrics》🗿、《Journal of Empirical Finance》🤦、《Journal of International Money & Finance》以及國內權威期刊《經濟研究》🌲、《金融研究》、《經濟學季刊》、《管理科學學報》等發表論文30余篇🟢。
歡迎各位老師及學生積極參與討論！