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Media-based inter-industry Network and Information Transmi...

來源:上海交通大學安泰經濟與管理學院 | 2019-10-28 | 發布:經管之家

題目:Media-based inter-industry Network and Information Transmission

演講人:Li GUO, Assistant Professor,Fudan University

主持人:張然助理教授

上海交通大學安泰經濟與管理學院金融系

時間:2019年11月6日 14:30-16:00

地點:上海交通大學 徐匯校區安泰樓B1516

演講內容簡介:

We construct a dynamic inter-industry network using a comprehensive sample of media news to examine how news travels across industries. Our analyses show that cross-industry news contains valuable information about firm fundamentals that is not fully captured by firms' own news or within-industry peers' news. Stock prices do not promptly incorporate cross-industry news, generating return predictability. Underreaction to cross-industry news is more pronounced among smaller stocks that are more illiquid, more volatile, and have fewer analysts following. A long-short strategy exploiting cross-industry news yields annual alphas of over 10%.

演講人簡介:

Li GUO is an Assistant Professor in Finance at Fudan University and a Researcher at Shanghai Institute of International Finance and Economics. Before joining Fudan University, Li GUO obtained his PhD in Finance from Singapore Management University. His recent work has been accepted by a top3 journal in finance - Journal of Financial Economics. He is also a reviewer for multiple SSCI journals, such as Financial Analyst Journal, Journal of Financial Econometrics, and European Journal of Finance. He has also won several awards in international conferences, such as the 2019 WRDS Advanced Research Scholar Program (WARSP) Best Papaer Award, the 26th SFM Best Research Paper Award in 2018, and the Best Young Scholar Paper Award in 2017 Frontiers of Business Research in China International Symposium.

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