题目：The Momentum of News
报告人：朱小能 上海财经大学金融学院
时间：2018年11月16日上午9:00 -11: 00
地点：博萃楼4楼阳光房
承办单位：上海对外经贸大学金融发展研究所
Relying on a comprehensive data set of news releases, we construct monthly firm-level news sentiment scores during the 2000–2016 period and document a news momentum phenomenon that stocks with more positive news in the past generate more positive news in the future. We propose three hypotheses to explain this phenomenon and find that news momentum is driven by the persistence of firms’ fundamentals instead of stale news or firms’ strategic disclosure. A trading strategy, which combines a long position in a good-news quintile portfolio with a short position in a bad-news portfolio, generates 7.45 percent risk-adjusted return annually. This return anomaly appears on both news and non-news days. Overall, these findings suggest that the cross-sectional prediction of news is not fully incorporated into the stock price by investors.
报告人简介
朱小能，在新加坡南洋理工大学获得经济学博士学位，现为上海财经大学金融学院教授、博导、副院长，上海国际金融与经济研究院研究员、副院长。主要研究方向为资产定价、宏观经济与金融市场。朱博士在国际顶级金融学期刊上发表多篇学术论文，包括Journal of Financial Economics、Review of Finance、Journal of Banking and Finance、Journal of Financial Econometrics、Journal of Empirical Finance等，研究成果多次被CFA digest、人大复印资料、国研网等全文转载。主持完成国家自然科学基金、教育部人文社科研究基金、上海浦江人才计划等研究项目。他还担任Economic Modelling副主编、客座主编，《金融科学》编委。
