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博湛学术沙龙第13期:江嘉骏
信息来源:浏览次数:发布时间:2019年11月25日 00:00

论文题目:Investor Sentiment and the (Discretionary) Accrual-return Relation: Theory and Evidence

时间: 2019年11月29日 14:30—15:30

地点: 格致楼618

主讲人:江嘉骏

主持人:陈 康

论文摘要:The positive relationship between discretionary accruals and stock returns at the aggregate level appears to contradict the negative relationship in the cross section. Using a stylized model with endogenous earnings management, we show that the "lean-against-thewind" behavior, together with investor irrationality, can account for the positive accrual-return relation at the aggregate level. We also show that the negative accrual-return relation in the cross-section can arise due to firm-level manipulation uncertainty, and the negative relation is more pronounced among firms with poor governance and is also exacerbated by investor irrationality. Using Baker-Wurgler investor sentiment index as a proxy for investor irrationality, we find data patterns that are consistent with our model predictions.

主讲人简介:江嘉骏,北京大学金融学博士,纽约大学Stern商学院访问学者。2018年加入复旦大学经济学院,主要研究方向包括行为金融、消费金融和金融科技。江嘉骏博士已有多篇文章发表于Journal of Empirical Finance, Journal of Comparative Economics,《金融研究》。