主題： Manager Sentiment and Stock Returns（經理人情緒與股票回報）

主講人：姜富偉，中央财經大學金融學助理教授

日期：2015年11月4日（周三）

時間：上午10:00-11:30

地點：清華Betvictor中文版4号樓101教室

語言：英文

摘要：

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.

主講人簡介:

Fuwei Jiang is Assistant Professor of Finance at School of Finance, Central University of Finance and Economics. Dr. Jiang received a Master and a Ph.D. in Finance from Lee Kong Chian School of Business, Singapore Management University. His main research interests are asset pricing, return predictability, investment, behavioral finance and entrepreneurial finance. Also, he teaches Empirical Methods in Finance and Financial Markets and Institutions for CUFE undergraduate, MSc. and Ph.D. Furthermore, his papers have appeared in Review of Financial Studies, Journal of Portfolio Management, Journal of Financial Research and other finance journals.