一、 主題:Sticky expectations and cross-firm return predictability
二、 彙報人:丁慧 2020級金融工程碩博連讀生
三、 時間地點:2024年4月25日晚上19:30,沙河校區主教學樓104M
四、 報告簡介:為促進金融科技研究,推動中國金融科技的健康穩定和可持續發展,金融科技教育與研究五十人論壇發起2024中國金融科技學術年會(2024 China Fintech Research Conference, CFTRC2024)。會議由上海交通大學安泰經濟與管理學院聯合30餘所院校主辦,由上海交通大學安泰經濟與管理學院承辦,智能投研技術聯盟(ITL)、上海數據交易所研究院共同協辦,于2024年4月19日至4月20日在上海舉行。我院博士研究生丁慧與姜富偉教授、西南财經大學bevictor伟德官网陳梓麟教師合作的論文《Sticky expectations and cross-firm return predictability》經過評審應邀參會。丁慧同學将在校内就該參會論文做出學術報告。
五、 報告摘要:Previous empirical studies document a striking cross-firm return predictability among economically linked firms. This study reveals that the cross-firm return predictability is attributable to analysts’ sticky expectations. Notably, the return predictability is more pronounced for focal firms covered by analysts with stickier forecasts compared to those with less sticky forecasts. Furthermore, this effect remains robust when alternative explanations are considered. This pattern holds with alternative measures of sticky expectation and across various economic linkages. Our findings reveal a novel fact that analysts’ sticky expectations serve as an important force in driving investors’ underreaction to the valuable information emanating from economically linked firms.
撰稿:丁慧
初審:位錦
終審:魏旭