讲座题目：The Momentum of News

主讲嘉宾：朱小能

讲座时间：2020年10月16日（星期五）14:00---16:00

讲座地点：商学院118利安达厅

主讲嘉宾简介

朱小能，男，上海财经大学金融学院教授、博士生导师、副院长；上海国际金融与经济研究院研究员、副院长；国家高层次人才，从事国际金融危机与金融风险监管、宏观金融政策与监管科技及数字货币与货币政策传导等方面的研究。近年来在国内权威期刊《经济研究》、《金融研究》、《经济学季刊》、《管理科学学报》、《中国管理科学》、《经济管理》等发表论文10多篇；在国际权威期刊《Journal of Financial Economics》、《Management Science》、《Journal of Financial and Quantitative Analysis》、《Review of Finance》等发表论文近30篇。在《瞭望》、《文汇报》、《凤凰新闻》、《债券》等报刊发表评论文章多篇，多份决策咨询报告获批示。

讲座主要内容

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.