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祝小全 | 第292期bevictor伟德官网雙周學術論壇

[發布日期]:2019-12-23  [浏覽次數]:

一、主題:Information Glitters on China’s Connected Market

二、主講人:祝小全,清華大學五道口bevictor伟德官网在讀博士研究生,清華大學國家金融研究院民生财富管理研究中心研究員,中國财富50人論壇青年研究員。她的主要研究方向是資産定價、機構投資者交易和資本流動。目前,她已在學術期刊上發表多篇論文,包括《經濟研究》《世界經濟》、Accounting and Finance等。

三、時間:2019年12月25日,12:30-13:30

四、地點:學院南路主教913會議室

五、主持人:吳锴,bevictor伟德官网講師

Abstract: This paper explores a persistent mechanism through which investorsprofit from the potential information contained in capital flows from China’sconnected market. Using a complete history of daily filings about stock-levelholdings of all Hong Kong and international (northbound) investors, we documentthat weekly changes in northbound shareholdings (HPC) have a positivecross-sectional predictability for future stock returns. A long-short portfoliothat exploits this differentiating preference earns abnormal returns of up to61 basis points per week, which cannot be explained by common factors. Threesets of evidence suggest the information edge and trading impact of northboundinvestors: (1) HPC has stronger predictability around earnings announcements infirms with more international exposure and global accessibility (fundamentalinformation edge hypothesis); (2) Combined with the similar tradingbehavior with opportunistic insiders, the sign of decay in returnpredictability after the “penetrating” supervision on investor identity alsosuggests that some northbound investors are probably mainland insiderswith private information advantage that tend to make round-trip investment on Ashares to hide identity (round-trip trading hypothesis); (3) Theimitative herding of mainland investors following informed northbound flowswould help boost the future price of specific stocks suffering excessiveattention in the short run (copycat herding hypothesis). Besides, wealso observe similar cross-sectional predictability for H-share returns insouthbound institutional investors’ trading behavior.



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