报告主题：Investor Attention and Stock Returns

主讲嘉宾：唐国豪 博士

时       间：9月5日14:30-16:30

地       点： 22号楼101课室

摘要：

This study examines whether investor attention can predict the aggregate stock market. We find that the individual investor attention proxies proposed in the literature collectively have a common component that has significant power in predicting stock market excess returns, both in-sample and out-of-sample.   This common component is well extracted by using partial least   squares and scaled principal   component analysis approaches. Moreover, this component can   deliver   sizable   economic gains for mean-variance investors in asset allocation. We identify   two   economic   sources of   predictability: the predictive power   primarily   stems   from   a   cash   flow   channel , and there is   stronger predictive   power for down   markets and for   firms that have   more bad news.

嘉宾简介：

唐国豪，湖南大学金融与统计学院助理教授、金融学博士、硕士生导师，圣路易斯华盛顿大学访问学者。主要研究兴趣为实证资产定价、投资者情绪与关注度、机器学习和中国股票市场。近年来已在Journal of Banking and Finance、Journal of Management Science and Engineering、《金融研究》、《经济学动态》等国内外重要期刊上发表学术论文近十余篇。