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158th Biweekly Academic Forum

作者:     日期:2015-11-27    来源:

1. Topic: Sentiment of manager and return of stock

2. Lecturer: Jiang Fuwei, associate professor of school of finance, CUFE. He graduated from Singapore Management University as a PhD in Finance. His major research field includes asset pricing, earnings prediction, capital investment, behavioral finance and corporate finance. His research achievements were published in world-famous high-level financial journals such as Review of Financial Studies, Journal of Portfolio Management, Journal of Financial Research, Pacific-Basin Finance Journal. He teaches Empirical Finance and Financial Markets and Financial Institutions in CUFE.

3. Time: November 30th, 2015(Monday), 12:30-13:30

4. Place: Lecture Hall Room 606

5. Host: Huang Zhigang, Associate Professor of School of Finance, CUFE.

Abstract: In this paper, we construct a manager sentiment index based on the aggregated textual tone of conference calls and financial statements. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in sample and out-of-sample R2 of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously-studied macroeconomic variables. Its predictive power is also stronger than and is complimentary to the popular investor sentiment indexes. Moreover, manager sentiment also negatively predicts future aggregate earnings and cross-sectional stock returns, particularly for those firms that are either hard to value or difficult to arbitrage.