应用金融Seminar:海外学者系列讲座2021-03:周国富(华盛顿大学)

2021.04.16

报告题目1:Employee Sentiment and Stock Returns

报告题目2:Stock Option Predictability for the Cross-Section

报 告 人:周国富(Guofu Zhou)

报告时间:2021年4月21日(周三)10:00

报告地点:ZOOM平台在线交流(会议ID:919 4888 4614 ;会议密码:288120)

ZOOM App下载链接:https://zoom.us/download, 亦可点击以下链接直接参加会议:https://hawaii.zoom.us/j/91948884614

主办单位:应用金融与行为科学学院

【报告人简介】

Guofu Zhou is Frederick Bierman and James E. Spears Professor of Finance at Olin Business School of Washington University in St. Louis. He has a BS degree from Chengdu College of Geology, China, and a PhD in economics from Duke University. Prior to his PhD studies, he was interested in mathematics with publications in number theory, function theory, and numerical solutions to partial differential equations.  After his PhD, he has been working at Washington University since 1990, conducting research in finance in a number of asset pricing areas with numerous publications in Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Journal of Finance, as well as in industry journals such as Journal of Portfolio Management and Financial Analyst Journal. He has won awards for teaching MBA and MSF students and for his research.

His current research interests are primarily in big data and machine learning with innovations applicable to finance. His recent works (with co-authors) include exploring limitations and extensions of factor models, constructing macro factors, trend factors, lottery factors, and information factors to explain cross-section of stock returns and corporate bond returns, and proposing combination Lasso to best select firm characteristics for forecasting expected asset returns.

【内容摘要】

报告1:We propose an employee sentiment index, which complements investor sentiment and manager sentiment indices, and find that high employee sentiment predicts a subsequent low market return, significant both in- and out-of-sample. The predictability can also deliver sizable economic gains for mean-variance investors. The employee sentiment’s impact is stronger among employees who work in the headquarters state and among less experienced employees. The economic driving force of the predictability is distinct: high employee sentiment leads to high contemporaneous wage growth due to immobility, which in turn results in subsequently lower firm cash flow and lower stock return.

报告2:We provide the first comprehensive analysis of the information content from options markets for predicting the cross-section of stock returns. We jointly examine an extensive set of firm characteristics and an exhaustive set of option predictors, filling the void between two largely

disjoint literatures. Using both portfolio sorts and machine learning methods, we find that options have strong predictive power for the cross-section of returns after controlling for firm characteristics. A structural analysis shows that the strongest predictors are associated with tail risk premia and leverage. Our findings imply that these risks are estimated more accurately from options data,providing annualized Sharpe ratios in excess of 1.5.

【应用金融Seminar论文导读(2021-03)】

导读时间:4月19日(周一)15:00-17:00

导读地点:博学楼503室

导读对象:硕士生、博士生、青年教师

导读教师:程航

导读要求:需要提前阅读讲座论文

【导读教师简介】

程航,东北财经大学应用金融与行为科学学院讲师,2019年获得东北财经大学金融工程学博士学位。研究领域为资产定价、风险管理、金融科技。已经在Pacific-Basin Finance Journal、系统工程理论与实践发表多篇论文。