講座題目：An “Online” Growth Premium: What Does Daily Online Sales Growth Say About Stock Returns and Investors’ Behavior?

時(shí)間：2021年11月25日（周四）12:30 – 13:30（線(xiàn)上）

主講人: 賈越珵 中央財(cái)經(jīng)大學(xué)中國(guó)金融發(fā)展研究院副教授，碩士生導(dǎo)師。

主講人簡(jiǎn)介：

賈越珵 中央財(cái)經(jīng)大學(xué)中國(guó)金融發(fā)展研究院副教授，碩士生導(dǎo)師。主要研究領(lǐng)域?yàn)閷?shí)證資產(chǎn)定價(jià)、機(jī)器學(xué)習(xí)、和宏觀(guān)金融。已在國(guó)際權(quán)威期刊發(fā)表論文多篇。對(duì)工業(yè)界的股票中性策略和CTA策略亦有很深的理解和較長(zhǎng)的實(shí)踐。

講座內(nèi)容簡(jiǎn)介：By using a proprietary real-time daily online sales data collected in China from 10-billion consumer accounts, this paper finds that the firm—level daily online sales growth (DOSG) can positively predict future one-day to more than three-month cumulative stock returns in the cross section, implying a growth premium in contrast to Lakonishok, Shleifer, and Vishny (1994). A spread portfolio that is long on stocks with high DOSG and short on stocks with low DOSG delivers an abnormal return of around 30 basis points per week. DOSG derives its short-run (e.g., weekly) predictability from investor sentiments, tilting to a behavioral explanation. However, it derives its medium to long-run (e.g., three-month) predictability from fundamentals, voting for a rational explanation. Our further evidence indicates that stocks with high DOSG experience more intensive information acquisition from retail investors and less severe crash risk, implying online sales as a channel for retail investors to get access to daily real-time firm fundamentals.

會(huì)議方式：騰訊會(huì)議

會(huì)議號(hào)： 238 277 425