Science Building A1514, Tencent Conference ID:160699500
Tang Guohao, Associate Professor, School of Finance and Statistics, Hunan University
In this paper, we propose a predictor, Abnormal Holding Ratio (AHR), to measure abnormal shares holding of northbound investors through China Stock Connect Mechanism, to explain the cross-sectional returns in the China’s A-share stocks listed on Connect Mechanism. Firms receiving the high AHR generate substantially higher future returns than those with the low AHR. The predictability of AHR is robust after controlling for size, book-to- market ratio and some other famous asset pricing factors. Moreover, AHR is positively related to the firms’ fundamentals, especially profitability.
Brief introduction of the speaker:
Tang Guohao, Doctor of Finance from Central University of Finance and Economics, visiting scholar of Washington University in St. Louis, USA. Research fields are empirical asset pricing, machine learning, and behavioral finance. The main papers were published on the top international financial journals including Journal of Quantitative and Financial Analysis and Journal of Banking and Finance, Journal of Financial Research, China Economic Quarterly and other high-level journals at home and abroad. Hosted the Youth Project of the National Natural Science Foundation of China and the Youth Project of the Natural Science Foundation of Hunan Province. Won the school's outstanding teaching award, the college's scientific research breakthrough award, the first prize of the college teaching competition, the second prize of the school teaching competition, the undergraduate excellent graduation thesis instructor.