朱小能 | The Momentum of News

时间:2019-10-08浏览:10设置

上海并购金融研究院学术讲座

报告题目:The Momentum of News

主讲人:朱小能 上海财经大学金融学院教授

时间:2019年10月10日(周四)13:00—14:30

地点:理科大楼A1716报告厅(中北校区)

摘要:

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 of stocks with more positive news in the past generating 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 rather than stale news or firms’ strategic disclosure. A trading strategy that combines a long position in a good news quintile portfolio with a short position in a bad news portfolio generates a 7.45% 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.

主讲人简介: 

朱小能,男,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。其研究方向为于金融科技、货币政策、资产定价等方面领域。近年来在国际权威期刊《Journal of Financial Economics》、《Review of Finance》、《Journal of Banking and Finance》、《Journal of Empirical Finance》《Journal of International Money & Finance》,在国内权威期刊《经济研究》、《金融研究》、《经济学季刊》、《管理科学学报》等发表论文30篇。


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