Return Predictability in Firms with Complex Ownership Network
日期: 2018-12-21


Jun Tu


12月26日(周三) 14:30-16:00



题目: Return Predictability in Firms with Complex Ownership Network



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。



In this study, using data from 23 developed markets, we examine all four possible cases of stock return predictability in ownership-linked firms (OLFs): parent-subsidiary, subsidiary-parent,

subsidiary-subsidiary, and parent-parent. We find that the returns of OLFs predict returns of the focal firm for all four cases. In particular, a simple long/short portfolio strategy for firms sorted

by the lagged monthly returns of OLFs yields the Fama and French (2018) value-weighted sixfactor alpha of up to 113 bps per month. The underreaction of focal firms to OLF returns is best

explained by active internal capital markets – a specific mechanism unique to OLFs.