讲座题目：Institutional Trading, News, and Accounting Anomalies

时间：2023年5月25日（周四）中午12：20-13：20

地点：博学楼925

主讲人：郑凌凌

主讲人简介：

郑凌凌，中国人民大学商学院副教授，博士生导师。国家自然科学基金委“优秀青年基金项目”获得者。其研究关注股票市场异象、因子模型、对冲基金、共同基金、机器学习等领域。其学术论文多次发表于国际顶尖学术期刊，包括Review of Financial Studies, Journal of Financial Economics, Management Science, Review of Accounting Studies等，并获得《经济学人》杂志等国际媒体的关注和报道。

讲座内容简介：

Previous studies find mixed evidence on whether institutional investors exploit capital market anomalies. Examining a large sample of accounting-based anomalies, we find that institutional investors appear to trade in the wrong direction of overreaction anomalies, but in the right direction of underreaction anomalies. These heterogenous trading patterns, rather than reflecting institutions’ differential anomaly trading skills, can be simply explained by institutions’ tendency to trade in the direction of news. Examining earnings news and a comprehensive sample of newswire releases, we find strong support for this explanation. Finally, institutional trading exacerbates (mitigates) market mispricing associated with overreaction (underreaction) anomalies.