講座題目：Institutional Trading, News, and Accounting Anomalies

時(shí)間：2023年5月25日（周四）中午12：20-13：20

地點(diǎn)：博學(xué)樓925

主講人：鄭凌凌

主講人簡(jiǎn)介：

鄭凌凌，中國(guó)人民大學(xué)商學(xué)院副教授，博士生導(dǎo)師。國(guó)家自然科學(xué)基金委“優(yōu)秀青年基金項(xiàng)目”獲得者。其研究關(guān)注股票市場(chǎng)異象、因子模型、對(duì)沖基金、共同基金、機(jī)器學(xué)習(xí)等領(lǐng)域。其學(xué)術(shù)論文多次發(fā)表于國(guó)際頂尖學(xué)術(shù)期刊，包括Review of Financial Studies, Journal of Financial Economics, Management Science, Review of Accounting Studies等，并獲得《經(jīng)濟(jì)學(xué)人》雜志等國(guó)際媒體的關(guān)注和報(bào)道。

講座內(nèi)容簡(jiǎn)介：

Previous studies find mixed evidence on whether institutional investors exploit capital market anomalies. Examining a large sample of accounting-based anomalies, we find that institutional investors appear to trade in the wrong direction of overreaction anomalies, but in the right direction of underreaction anomalies. These heterogenous trading patterns, rather than reflecting institutions’ differential anomaly trading skills, can be simply explained by institutions’ tendency to trade in the direction of news. Examining earnings news and a comprehensive sample of newswire releases, we find strong support for this explanation. Finally, institutional trading exacerbates (mitigates) market mispricing associated with overreaction (underreaction) anomalies.