【本期主题】¬Manager Sentiment and Stock Returns

In this paper, we construct a manager sentiment index based on the aggregated textual tone of conference calls and financial statements. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample R2 of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously-studied macroeconomic variables. Its predictive power is also stronger than and is complimentary to the popular investor sentiment indexes. Moreover, manager sentiment also negatively predicts future aggregate earnings and cross-sectional stock returns, particularly for those firms that are either hard to value or difficult to arbitrage.

【报告人】姜富伟    中央财经大学金融学院副教授

【时   间】03月18日 上午10:00

【地   点】明德主楼0509室  

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报告人简介：

姜富伟，中央财经大学金融学院副教授。2014年毕业于新加坡管理大学，获得金融学博士。他的主要研究领域包括资产定价，预测，市场异象，行为金融，投资，创业与创新，中国金融市场。他的研究成果在Review of Financial Studies, Journal of Portfolio Management, Journal of Financial Research, Pacific-Basin Finance Journal 等国际高水平金融期刊发表。主要讲授《金融实证研究方法》、《金融市场与金融机构》等课程。

中国人民大学金融高端论坛组委会

汉青经济与金融高级研究院金融系

商学院财务与金融系

财政金融学院应用金融系