Ownership Links and Return Predictability
日期: 2018-12-21

 

Jun Tu

新加坡管理大学李光前商学院金融学副教授

12月26日(周三) 14:30-16:00

金融系会议室(慧园3栋3楼315)

 

题目:Ownership Links and Return Predictability

 

嘉宾简介

凃俊教授现任职新加坡管理大学李光前商学院金融学终身职副教授,博士生导师。凃俊教授于 2004 年获得华盛顿大学金融学博士学位,并于同年加入新加坡管理大学李光前商学院。凃俊教授的研究领域涉及行为金融, 投资者情绪, 实证资产定价, 媒体和资本市场, 资产回报预测,投资组合管理, 文本分析和机器学习,公司金融,金融计量。凃俊教授的研究获得多个研究奖项,包括 Lee Foundation Fellowship for Research Excellence, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize), 和华盛顿大学研究奖学金。 凃俊教授已经在顶级国际学术期刊上发表多篇学术论文,包括金融学杂志( Journal of Finance), 金融经济学杂志 ( Journal of Financial Economics ) , 金融研究评论 ( Review of Financial Studies ) , 财务 定量分析杂志 ( Journal of Financial and Quantitative Analysis ) ,和管理科学 ( Management Science ) 。凃俊教授的研究成果还被顶尖的业界期刊转载,比如 The CFA Digest,花旗银行,和 UBS 的学术研究文摘等。

 

Abstract

We investigate the return predictability between subsidiaries and their parent firms by using an international sample of parent firms with complex ownership structures from 23 developed markets. We find that portfolio returns of the ownership-weighted subsidiaries can significantly predict the future returns of a parent firm in terms of statistics and economics. Specifically, a simple long/short portfolio strategy for a global sample sorted by lagged monthly returns of subsidiaries yields an FF5 abnormal return of 112 (value-weighted) or 128 (equal-weighted) basis points per month. We further find indirectly owned subsidiaries, foreign subsidiaries, different-industry subsidiaries, and minor ownership subsidiaries generate larger predictive power than directly owned subsidiaries, local subsidiaries, same-industry subsidiaries, and major ownership subsidiaries for future returns of parent firms. We find that subsidiaries’ complexity, subsidiaries’ importance, limits to arbitrage, and investor limited attention may be mechanisms and reasons for the underreaction of parent firm returns for subsidiaries 'returns.