[Lecture] Guohao Tang：Employee Sentiment and Stock Returns/ Smart Money or Chasing Stars: Evidence from Northbound Trading in China
Time: 14:00-17:00pm, Jun. 2nd, 2021, Wednesday
Venue: RoomA1514, Science Building, North Zhongshan Road Campus/Tencent meeting ID：160699500
Spreker: Guohao Tang, Associate Professor, School of Finance and Statistics, Hunan University
Compere: Yun Shi, Associate Professor, East China Normal University
Report 1:Employee Sentiment and Stock Returns
Abstract: We propose an employee sentiment index, which complements investor sentiment and manager sentiment indices, and find that high employee sentiment predicts a subsequent low market return, significant both in- and out-of-sample. The predictability can also deliver sizable economic gains for mean-variance investors. The employee sentiment’s impact is stronger among employees who work in the headquarters state and among less experienced employees. The economic driving force of the predictability is distinct: high employee sentiment leads to high contemporaneous wage growth due to immobility, which in turn results in subsequently lower firm cash flow and lower stock return.
Report 2:Smart Money or Chasing Stars: Evidence from Northbound Trading in China
Abstract:In this paper, we propose a predictor, Abnormal Holding Ratio (AHR), to measure abnormal shares holding of northbound investors through China Stock Connect Mechanism, to explain the cross-sectional returns in the China’s A-share stocks listed on Connect Mechanism. Firms receiving the high AHR generate substantially higher future returns than those with the low AHR. The predictability of AHR is robust after controlling for size, book-to- market ratio and some other famous asset pricing factors. Moreover, AHR is positively related to the firms’ fundamentals, especially profitability.
Speaker’s Bio:唐国豪，湖南大学金融与统计学院副教授，硕士生导师、金融工程系副主任。中央财经大学金融学博士、美国圣路易斯华盛顿大学访问学者。研究方向为实证资产定价、机器学习、行为金融。主要论文发表于金融学国际顶级期刊“Journal of Quantitative and Financial Analysis”和“Journal of Banking and Finance”、《金融研究》、《经济学季刊》等国内外高水平期刊。主持国家自然科学基金青年项目、湖南省自然科学基金青年项目。获得校优秀教学奖、院科研突破奖、院教学比赛一等奖、校教学比赛二等奖、本科优秀毕业论文指导老师、指导本科生SIT项目国家级立项等。
