講座題目：The Value of Information in China’s Connected Market

時間：2021年12月30日（周四）12:30 – 13:30

地點：博學(xué)樓925

主講人: 祝小全

主講人簡介：

祝小全，對外經(jīng)濟貿(mào)易大學(xué)金融學(xué)院講師。主要研究領(lǐng)域為實證資產(chǎn)定價（機構(gòu)投資者，互聯(lián)互通，債券市場）和國際金融等。在《經(jīng)濟研究》、《金融研究》、《世界經(jīng)濟》等期刊發(fā)表若干論文。

講座內(nèi)容簡介：

The paper studies the role of information in cross-market trading by using Shanghai / Shenzhen-Hong Kong Stock Connect Program as a novel laboratory. With a complete history of daily stock-level holdings of all international (northbound) investors, we find that weekly changes in northbound shareholdings have a cross-sectional predictive power for A-share returns. We present evidence that northbound investors are well informed about firm fundamentals, especially for firms with higher global exposure. Besides, private information is incorporated into prices by mainland insiders who take advantage of regulatory arbitrage by homemade foreign trading. Attention-induced Copycats further confirm the informativeness of international participants in China.