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                    Return Predictability in Firms with Complex Ownership Network
                    日期: 2018-12-21

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                    Jun Tu

                    新加坡管理大學李光前商學院金融學副教授

                    12月26日(周三) 14:30-16:00

                    金融系會議室(慧園3棟3樓315)

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                    題目:?Return Predictability in Firms with Complex Ownership Network

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                    嘉賓簡介

                    凃俊教授現任職新加坡管理大學李光前商學院金融學終身職副教授,博士生導師yabo亚博app。凃俊教授于 2004 年獲得華盛頓大學金融學博士學位,并于同年加入新加坡管理大學李光前商學院yabo亚博app。凃俊教授的研究領域涉及行為金融, 投資者情緒, 實證資產定價, 媒體和資本市場, 資產回報預測,投資組合管理, 文本分析和機器學習yabo亚博app,公司金融,金融計量yabo亚博app。凃俊教授的研究獲得多個研究獎項yabo亚博app,包括 Lee Foundation Fellowship for Research Excellence, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize), 和華盛頓大學研究獎學金yabo亚博app。 凃俊教授已經在頂級國際學術期刊上發表多篇學術論文,包括金融學雜志( Journal of Finance), 金融經濟學雜志 ( Journal of Financial Economics ) , 金融研究評論 ( Review of Financial Studies ) , 財務 定量分析雜志 ( Journal of Financial and Quantitative Analysis ) ,和管理科學 ( Management Science ) yabo亚博app。凃俊教授的研究成果還被頂尖的業界期刊轉載,比如 The CFA Digest,花旗銀行,和 UBS 的學術研究文摘等。

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                    Abstract

                    In this study, using data from 23 developed markets, we examine all four possible cases of stock return predictability in ownership-linked firms (OLFs): parent-subsidiary, subsidiary-parent,

                    subsidiary-subsidiary, and parent-parent. We find that the returns of OLFs predict returns of the focal firm for all four cases. In particular, a simple long/short portfolio strategy for firms sorted

                    by the lagged monthly returns of OLFs yields the Fama and French (2018) value-weighted sixfactor alpha of up to 113 bps per month. The underreaction of focal firms to OLF returns is best

                    explained by active internal capital markets – a specific mechanism unique to OLFs.


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