活动预告 | 正午阳光——青年学者论坛（2023秋季）第四期
“正午阳光——青年学者论坛”是金融学院定期举办的以院内师生参与为主的学术交流活动，为全院专家学者之间、师生之间、南开金融与国际国内学术界之间提供了难得的交流机会。本学期“正午阳光”论坛初心不改，扬帆远航再出发，致力于营造学院学校科研氛围，推动师生学术科研水平不断提升！
2023年秋季学期 “正午阳光——青年学者论坛”第四期活动安排如下：
讲座题目：
Do Peer Characteristics Explain Returns: An Aggregation Approach
同群公司的特征能够解释收益吗：信息整合法
主讲人：
戈舒怡，南开大学金融学院助理教授，研究领域主要包括金融计量、实证资产定价、经济网络。科研成果发表于Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Economic Dynamics and Control 等国际期刊
点评人：
向鸿，香港理工大学助理教授，研究领域主要包括实证资产定价，行为金融学。科研成果曾多次发表于Journal of Financial Economics，Journal of Financial and Quantitative Analysis 等国际期刊。
讲座时间：
2023年10月12日，12：00-13：30
讲座地点：
金融学院116教室
内容摘要：
Characteristics of one firm may contain value-relevant information for a set of economically related peer firms. This paper employs a flexible machine-learning approach to aggregate information from a large number of peer characteristics, as well as deviations of firms' own characteristics from the peer averages, into two aggregate peer-based indices: the Peer Index (PI) and the Peer Deviation Index (PDI). The two indices reliably predict future returns, even after controlling for a comprehensive list of other anomaly variables, as well as adjusting for data-snooping bias and microcaps. Individually, long-short value-weighted portfolios based on PI and PDI each generate monthly excess returns of 1.5% and 2.2%, respectively, with Sharpe ratios of 1.15 and 2.28. Combining the two signals, a long-short double-sorted portfolio generates monthly excess returns of 3.48% (with a Sharpe ratio of 2.52). We present evidence that the predictability of PI and PDI arises from the gradual diffusion of information and anchoring to peer fundamentals, respectively.
请先 登录后发表评论 ~