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主讲人 |
朱小能 |
简介 |
<p>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.</p> |
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主讲人简介 |
<p> 朱小能教授毕业于新加坡南洋理工大学，获经济学博士学位，现为上海财经大学金融学院教授、博导、副院长，上海国际金融与经济研究院研究员、副院长。主要研究方向为货币银行学、宏观经济与金融市场、资产定价。担任<span style="font-family: "Times New Roman";">SSCI</span>期刊<span style="font-family: "Times New Roman";"> <em>Economic Modelling </em></span>副主编、客座主编，《金融科学》编委。近年来，先后在 <span style="font-family: "Times New Roman";"><em>Journal of Financial Economics，Review of Finance，</em></span>《经济研究》、《金融研究》、《经济学季刊》、《管理科学学报》等国内外权威期刊发表论文数十篇。</p> |
期数 |
厦门大学金融经济学系列讲座2019春第六讲 （总第62讲） |
