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学术前沿讲座—Industry-wide Attention Based on Internet Searchers and the Cross-section of Stock Returns

发布时间:2020-12-01访问量:228

报告题目

Industry-wide Attention Based on Internet Searchers and the Cross-section of Stock Returns

报告人(单位)

张学勇教授(中央财经大学)

点评人(单位)

刘晓星教授

(东南大学)

点评人(单位)

尹威副教授

(东南大学)

在线会议信息

2020123日下午400

腾讯会议ID562 247 954;入会密码:201203

报告人简介

张学勇,现任中央财经大学研究生工作部部长,研究生院院长,龙马学者特聘教授,金融学院教授、博士生导师,国家社会科学基金重大项目主持人,中国资产管理研究中心主任。主要研究方向:大数据与金融科技(Fintech);投资者行为与实证资产定价;量化投资策略构造与数据回测;共同基金与对冲基金的业绩评价、策略分析;私人股权投资基金与风险投资的投资策略与回报渠道;公司并购、重组、IPO与价值创造。

报告内容提要

This study investigates how investor attention to industries affects the cross-section of stock returns, using aggregate search frequency from the Baidu Index based on industry names as a proxy for industry-specific attention. We find that an increase in the Baidu search volume index for an industry (SVIIND) predicts higher stock return the next day, and the effect of this search-based industry-level attention proxy on stock returns is dominant over that of the search volume index for individual stocks. A strategy that goes long on stocks in industries with higher abnormal SVIIND(ASVIIND) values and simultaneously short on stocks in industry with lower ASVIIND values generates an average return of 4.89% per year. Our findings are consistent with the attention hypothesis that net-buying pressure for attention-grabbing stocks temporarily drives up stock prices.


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