主题：An “Online” Growth Premium: What Does Daily Online Sales Growth Say About Stock Returns and Retail Investors’ Behavior?
主讲人：贾越珵 (CUFE)
摘 要：
By using a proprietary real—time daily online sales data collected in China from 10—billion consumer accounts, this paper finds that the firm—level daily online sales growth (DOSG) can positively predict future one—day to more than three—month cumulative stock returns in the cross section, implying a growth premium in contrast to \citet*{lakonishok 1994 contrarian}. A spread portfolio that is long on stocks with high DOSG and short on stocks with low DOSG delivers an abnormal return of around 30 basis points per week. DOSG derives its short—run (e.g., weekly) predictability from investor sentiments, tilting to a behavioral explanation. However, it derives its medium to long—run (e.g., three—month) predictability from fundamentals, voting for a rational explanation. Our further evidence indicates that stocks with high DOSG experience more intensive information acquisition from retail investors and less severe crash risk, implying online sales as a channel for retail investors to get access to daily real—time firm fundamentals.
讲者介绍：
中央财经大学中国金融发展研究院副教授。研究方向为实证资产定价，机器学习，数字货币。
时间：11月25日（周五）12:30-1:50pm
地点：学院南路校区学术会堂南608