主讲人：朱小能   上海财经大学金融学院教授，博士生导师

时间：2017年03月28日（周二）下午 1:30

地点：3-300

主办单位：中国金融研究院

主讲人简介：

朱小能 上海财经大学金融学院教授，博士生导师。主要研究方向为金融资产定价，货币政策、宏观经济与金融市场，以及金融时间序列分析。担任SSCI期刊《Economic Modelling》副主编、客座主编。近5年来，在《Review of Finance》、《金融研究》、《Journal of Banking and Finance》、《Journal of Financial Econometrics》、《Journal of Empirical Finance》、《Journal of International Money and Finance》等期刊发表论文20余篇。同时，在《文汇报》等报刊发表文章及评论多篇。研究受到国家自然科学基金及上海浦江人才计划等资助。

论文摘要：

Abstract: Relying on a comprehensive data set of news releases, we construct monthly firm-level news sentiment scores during the 2000–2014 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 two hypotheses to explain this phenomenon and find that news momentum is driven by the persistence of firms’ fundamentals instead of firms’ information environments. A trading strategy, which combines a long position in a good-news quintile portfolio with a short position in a bad-news portfolio, generates 8.352 percent risk-adjusted return annually. This return anomaly appears on both news and non-news days. Overall, these findings suggest that the crosssectional prediction of news is not fully incorporated into the stock price by investors.