一、主題：經理人情緒與股票回報

二、主講人：姜富偉，bevictor伟德官网副教授。2014年畢業于新加坡管理大學，獲得金融學博士。他的主要研究領域包括資産定價、盈餘預測、資産投資、行為金融和公司金融。他的研究成果在Review of Financial Studies, Journal of Portfolio Management, Journal of Financial Research, Pacific-Basin Finance Journal 等國際高水平金融期刊發表。他在bevictor伟德官网主要講授《金融實證研究方法》、《金融市場與金融機構》等課程。

三、時間：2015年11月30日（周一），12:30-13:30

四、地點：學術會堂606會議室

五、主持人：黃志剛，bevictor伟德官网副教授

論文摘要：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.