讲座题目：An “Online” Growth Premium: What Does Daily Online Sales Growth Say About Stock Returns and Investors’ Behavior?

时间：2021年11月25日（周四）12:30 – 13:30（线上）

主讲人: 贾越珵 中央财经大学中国金融发展研究院副教授，硕士生导师。

主讲人简介：

贾越珵 中央财经大学中国金融发展研究院副教授，硕士生导师。主要研究领域为实证资产定价、机器学习、和宏观金融。已在国际权威期刊发表论文多篇。对工业界的股票中性策略和CTA策略亦有很深的理解和较长的实践。

讲座内容简介：By using a proprietary real-time daily online sales data collected in China from 10-billion consumer accounts, this paper finds that the firm—level daily online sales growth (DOSG) can positively predict future one-day to more than three-month cumulative stock returns in the cross section, implying a growth premium in contrast to Lakonishok, Shleifer, and Vishny (1994). A spread portfolio that is long on stocks with high DOSG and short on stocks with low DOSG delivers an abnormal return of around 30 basis points per week. DOSG derives its short-run (e.g., weekly) predictability from investor sentiments, tilting to a behavioral explanation. However, it derives its medium to long-run (e.g., three-month) predictability from fundamentals, voting for a rational explanation. Our further evidence indicates that stocks with high DOSG experience more intensive information acquisition from retail investors and less severe crash risk, implying online sales as a channel for retail investors to get access to daily real-time firm fundamentals.

会议方式：腾讯会议

会议号： 238 277 425