主讲人：华盛顿州立大学 George Jiang教授
主题：Herding on Earnings News: The Role of Institutional Investors inPost-Earnings-Announcement Drift
主持人：金融研究院 张华丞助理教授
时间：11月26日（星期四）下午14:30——16:30
地点：光华校区 西部商学院 301教室
主办单位：西部商学院 科研处
内容简介:
In this paper, we examine the role of institutional investors underlying post-earnings announcement drift (PEAD). We provide evidence that while institutional investors generally herd on earnings news, such correlated trading does not eliminate or reduce market underreaction to earnings surprises. Instead, we find that PEAD is stronger in the subsample of stocks where institutions herd in the same direction of earnings surprises. Our results also show that institutions exhibit strong persistence in herding, which is largely driven by past firm performance and stock returns, with non-transient institutions more likely herding against earnings surprises. Based on long-run stock returns, we show that institutional herding on earnings surprises does not push stock prices away from their long-run values but facilitates a slow process of stock price discovery, whereas institutional herding against earnings surprises generates temporary and significant reversals in stock prices.
主讲人简介：
George Jiang教授，经济学博士，本科就读于南京大学数学系，现为美国华盛顿州立大学商学院金融与管理科学系投资学Brinson讲座教授。研究方向为资产定价模型和横截面股票收益率分布的检验、金融市场中的信息不确定性分析方法、资产收益率动态变化模型的构建等。论文发表于Review of Financial Studies 、Journal of Banking and Finance、Journal of Financial and Quantitative Analysis等国际顶级期刊。
